This script was requested by 1rv here:
http://www.scriptspot.com/forums/3ds-max/scripts-wanted/generate-vraypro...
It is converting selected objects to VrayProxies with their materials as .mat files and create thumbnails (two options are available rendered thumbnails or viewport grabbed thumbnails)
if selected objects are already vrayproxies it will generate the corresponding .mat files and thumbnails and copy the existing vrayproxies in the destination folder.
The objects need to be oriented toward the front view.