Firstly, are proxy servers legal?
To make things clear: proxy servers are perfectly legal and so are VPNs (in most of the countries)! It only depends on you how you use them. But even though you use a proxy for some illegal activity, this does not make the use of proxy illegal.
So, to use proxies at school is legal, but it can be against their policy, which is something else. You can not be prosecuted for using a proxy, but you can be disciplinarily punished (maybe suspended).
Proxy sites may read your data
Because proxy servers intercept data, there’s always the risk of the administrators of that proxy site to steal your information, such as account details to a website, personal identification like phone numbers, house address, or even your social security number (SSN) and credit card numbers. This is why it is very important for you to safeguard your information when using a proxy site by taking every possible measure to keep your identity a secret.
Important! Never, I mean NEVER, use sensitive info (credit card info, passwords, SSN, etc.) while using a proxy site!
Risks of using a proxy site – Conclusion
Also, if the website is not known and trusted or appear to have a good integrity, do not use it. This would only prove to endanger your information instead of finding a good proxy site to use. Keep this in mind before you use a proxy server next time or perhaps, your first time at all.