In a nutshell, you can export polygons to vray mesh file, and then load it back into the scene, but without actually loading all the polygons.
Then when you render, Vray loads exactly what it needs from that file - vray is smarter then 3dsmax so it can speed up the render.
Anyway, to use it...
1) Select the geometry you want to convert to proxy
2) Isolate it
3) Attach it all into ONE object. Not group, but attach. Good idea to backup the scene before doing this.
4) The attached object now has a Multi/Sub-Object material on it - save it in material editor!
5) Select the new object, right click -> export to vraymesh. Use default settings
6) Now create a VRayProxy object (Instead of Standard, select VRay from drop down list...)
7) Load the file you exported
Put it at same position/rotation/scale as the old object
9) Apply the Multi/Sub-Object material to the proxy object
10) Delete your old object
Note that you CANNOT modify the geometry this way, so any modeling needs to be finished before. You can still change materials, obviously, but not geometry. Also I dont think you can reverse the process, so ALWAYS DO AN INCREMENTAL SAVE before making the proxies
Hell I have Ctrl+S as shortcut incremental save, not regular save