Proximity searching can be useful if you find that phrase searching is too restrictive. When you do a phrase search you're saying to the database 'you can only show me results where word 'a' is immediately followed by word 'b' and so on; this does not allow for differences in how something may be written. You could have two of your key terms in the same sentence, but not side-by-side, and that article is still relevant but would not be added to your results if you only did a phrase search.
To broaden your reach and find material that's relevant but may be worded differently you could try using proximity or adjacency searching. Simply put, you're asking the database to look for words that are near to each other.
How you do this will vary from database to database but you will have to decide how far apart the words can get and still be (in your opinion) relevant.
What you use in a database will depend on what you're trying to find, how it may be expressed in the literature when it's being written out in 'academic speak'. Sometimes a phrase search will be your best bet; sometimes you may find that proximity searching lets you find some material that the more proscriptive phrase searching cannot find.