It’s just a change of the filename used in this step:
So you would create the file /etc/qubes-rpc/policy/qubes.ConnectTCP+8888 instead of editing etc/qubes-rpc/policy/qubes.ConnectTCP. I believe that all this change does is make the configuration a bit more secure by preventing my-qube from connecting to any ports on my-proxy other than 8888. You will still need the Firefox proxy edit.
It don’t see why it wouldn’t work - but I don’t have much experience with VPN’s (in general or in Qubes OS). Let me know if you get it working!
I’ll have to look into that.