Though "buldozer" can't find the proxy model, it doesn't mean OFP won't find it! It always finds the BIN\config.bin defined proxies - if the model exists. However, as buldozer's model folders might be missing those models, it returns the error message.
But you don't have to care about that. Just ignore it or rename a similar model - with the missing proxy name - and place it at data3D.
Now, if you want to create your own proxy model, it is very simple:
Create a model in O2, place it at data3d and then add a selection to another model with the same name as the one you've made. It will appear in "buldozer".
However, if you want to use the proxy ingame, you'd have to configure it in a new addon. I don't know how to do that and if it's possible, but the existing ones are enough - as their animation can be modified.