Yes you must create SLDAPICUST for proxy configuration.
But there is no need of LCRSAPRFC and SAPSLDAPI...
Just one connection to PI system --- type H
and connection type H named SAP_PROXY_ESR ( name should be this only)
and then SXMB_ADM for IS_URL parameter (find any blog regarding proxy connection).
and then SAPSLDAPICUST - to establish connection to SLD of PI
and then SPROXY must give your ESR components. 
FYI- proxy configuration
i. The first connection will be created to the AEX system
· Give any relevant name to connection (eg. : PO_AEX)
· Host name must be host of AEX system
· Service no. will contain port for AEX host.
· Path prefix= /XISOAPAdapter/MessageServlet?ximessage=true
i. The second HTTP Connection to be created to ESR.
· Name= SAP_PROXY_ESR ( use this name only)
· Target host= AEX system host
· Service no. = port of AEX system
· Path prefix= /rep
a. Go to SXMB_ADM -> Integration Server Configuration and make a destination of parameter IS_URL and give destination name as dest://<destination-name to AEX>. For example dest://PO_AEX
b. Perform SLDCHECK to see whether the system is connected to PO System’s SLD.
If not, we can connect to SLD using transaction SLDAPICUST
Then SPROXY. DOne
Regards,
Vikas Kumar Singh