You can't just `check` to see if they are using a proxy. It does not work that way... sure, they could use a public proxy that lets you know, but if they are in it to screw you, chances are they take a little more time to set this up, not to just use 1-800-my-proxy.
Those tools may help you weed out the dumb people who want to scam you but refuse to do it right... or those who are just to cheap to pay to do it right.
But, in the long run.... if they set it up, they will use an http proxy on port... 80, locked down to their IP so you can't detect it. If you really want to look into it get nmap and scan their IP, but... you may set off some triggers. What I am really trying to say is that you can not just click a button and see if a user is legit.
But enough raining on you day... try plugging their order IP into google (look for proxy lists?) and then do the same with their contact details. Have fun with your proxy stuff