Where put proxies and what kind of ? (blue screen stuff, alpha, windows ...)

Hello everyone !

I'm working on a stop-motion animation with a blue screen behind.
I worked on the original export which is 4096x2731 avi file to remove the blue screen.
Now that I have to do more editing and 2D vfx, I would like to make proxies.

I am wondering, what codec/format shall I use to keep the alpha, work on windows and get lighter file.

I am also wondering if I shall do the proxies on the original files instead (not the compositions) but I'm afraid to lose some of my work If I do so. And wondering what codec/format shall I use in this case.

Does anyone would have some informations to guide me ?
Thx in advance

Joseph