I don't know a whole lot about htaccess (or proxies for that matter), but it should have worked immediately. So you could double check to make sure that you have it in the right place and the htaccess is taking effect. Maybe there's some test rules that you could put in there to check.
I would kind of guess that a proxy service that is made for people to hide where they're coming from would not set http headers to say it's a proxy request, and in that case there wouldn't be any way to block them except to block every ip they could be coming from. But again, I don't know.
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