I'll try to tackle this question from my personal experience and just float some thoughts and ideas what works for me.

Taking a look at the python threads and the asyncio module and understanding the GIL's implications in action. Also, using processes to make python utilise multiple CPU cores.

Proxy server is a very board term. Let's try to understand what it means. Specifically a reverse proxy; what it means, what it does and, try to implement a simple one in Go using the net/httputils library