The proximity sensor should be placed as a "button" in CSD Wizard. The firmware for proximity sensor remains similar to that of a normal button. However, the range of the sensors is decided by the layout and the tuning parameters. Depending upon the noise in the RawCounts, firmware filters may have to be used. Please refer to the design guides for layout and design considerations.
A code example for proximity sensing using CY8C21x34 device along with associated documentation and video could be found here http://www.planetpsoc.com/psoc1-projects-capsense/31-proximity-sensing-csd-and-cy8c21x34.html. A proximity of around 10 cm can be sensed, based upon the radius of track or wire used for it.