Setting up a Proxy and Hamaching etc.... Help?

I'm bored and wanted to give my self a little project. I wanted to set up a proxy and Hamachi.. I see plenty of tutorials online that I can use so I dont need too much help, but I have a few questions. If i set up a proxy server or connect through a vpn such as hamachi. Does the computer always have to be on? Should I not enable sleep mode on that computer? Would that cause the proxy server or hamachi server to fail? Because I was reading I would need a computer that would be constantly on. I was just curious to know if it went into sleep mode if that would disrupt things? Also on a scale of one to ten how hard would it be to set up a proxy?