Any form of anonymity on the Internet is better than the complete lack of such a measure, and therefore you better use a quick anonymization provided by a web proxy than none at all. At least, if you need it.
However, a VPN offers a higher safety level (because it guarantees a better encoding), is not overloaded (because, if necessary, other servers are activated), is much faster and compatible with all Internet applications, not just your browser. Additionally, a simple Web-Proxy is not efficient against the DNS falsification consciously used by various states to protect those surfing the Internet from accessing (by them) unwanted information. And, also very important, many times you don't know, who actually runs the proxy to be used - which is very crucial when transmitting important personal data.