The proxy meshes supported by MakeHuman are also supported by MPFB. It's just a matter of putting them in the correct place.
If you cliek the "user data" button, a file browser will open where the MPFB data is stored. If you find the "data" -> "proxymeshes" directory there, you can copy a folder with a proxymesh into it. One tip is that if you already have the proxymesh installed in MakeHuman, simply copy its folder from the makehuman data directory to the mpfb proxymeshes directory.
Since the files are the same, they are also created the same way. The tool to use is MakeClothes, which can be found under downloads. A proxy is a piece of clothing, only with the extension changed from ".mhclo" to ".proxy".