Question is clear from title, is there a way to track user even if he is using a proxy. The point is, am i secure enough to surf internet with proxy to hide myself?
Browser plugins are your greatest threat, particularly Flash and Java, they can be used to run code which will bypass proxy settings.
A website such as this can show you how anonymous you at the moment. http://ip-check.info/?lang=en
Simple proxy servers are not particularly good at hiding users. I suggest you do further reading on the topic and investigate alternatives to proxy servers, particularly the Tor network.