This depends on the computer you are running bfgminer or slush's proxy on. I had a significant drop in hash rate using BFGMiner with my blades on my Raspberry Pi. Currently I use an old Atom netbook for my mining (they are really cheap used/refurbished) and over the course of a week of mining I did not see a significant difference in my hashrate. BFGMiner uses a lot of CPU on my ten blade setup on that netbook, so I suspect the number of devices being proxied and the size of your processor are factors to consider.

In the very beginning on bfgminer I did have a really bad hash rate until I gave each blade a unique username/password. After that all was well.