No, a proxy proxies your traffic but does not neccessarily (or usually) encrypt it.
If anything, a proxy makes it easier for prying eyes to sniff traffic, as it is handled by an application which can be designed to log requests and do anything else it requires.
Also, very often, proxy servers will add an "X-FORWARDED-FOR" header to requests, so not only can the address of the proxy be obtained, but the original IP address is often passed on through this header.