That's the core of the debate. A browser-configured proxy does route all traffic from that specific browser through the proxy server, meaning the provider can see the websites you visit and any unencrypted data. For casual, non-sensitive browsing on public Wi-Fi, it adds a layer of obfuscation. For true privacy or security, a VPN is superior as it encrypts all device traffic at the system level. If you decide to proceed, you need to understand the steps. A practical guide that explains the process of how to use a proxy server in your browser can be found
here.