I want to use the proxy pallet in my code. Do we have any sample Substrate example code to use it?
I integrated the proxy pallet into my code here mid last year. It is a sample of the Substrate code you might need to use it if you were still using an earlier version of Substrate version 3.0.0.
To integrate the proxy pallet from the latest Substrate 'master' branch you can refer to files like bin/node/runtime/src/lib.rs that show how to incorporate it into your runtime.
There is example Substrate code in the unit test file of the proxy pallet that shows different scenarios of how you may use the proxy pallet.