Many proxys have a rather obvious sounding hostname, so you could just right every visitors hostname to a file then look at it later.
The other way would be to use a script to attempt to connect to their machine on port 80, 8000, or 8080.
Most proxys that I know of use one of those ports, and if the connection is accepted (or something similar) there is a good chance it could be a proxy.
However, if the user has a firewall, your attempt to connect may be suspicious and they will not want to come back to your site (perhaps).
Other than that, you could attempt to collect proxy hostnames into a file then search for their hostname in that file.
That would either require a lot of research, or a Proxy Scanner.
I only know of 1 forum that examines to look for proxys, and that's the forum cyberarmy uses, which is available for download in various places.
I think it's refered to as being powered by the Albert Fung device.
Might examine their source and see how they do it.
