The proximity effect is a natural thing, because our ears also work like this: the closer to the sound source, the lower the sound. A voice artist can use the proximity effect to add more warmth and depth to his or her voice. It is therefore a great tool if you have a somewhat thin voice and would like to compensate for that characteristic. If you have a full voice, you usually have less need for the proximity effect.
Differences between microphones
The proximity effect differs per microphone. In general, condenser microphones are more sensitive to the proximity effect than dynamic microphones. The distance is also important. With certain microphones, the proximity effect quickly disappears completely if you take a little distance from your microphone. With other microphones (especially the more expensive condenser microphones) the proximity effect is a bit more gradual. Determine how important the proximity effect is to you -based on your voice and your taste- and try it out with different microphones.
Somewhat related to the proximity effect is the range of a microphone: how close do you have to hold the microphone to the sound source to still have an acceptable sound? The proper distance is usually around 15 to 30 cm from the microphone, depending on the type of microphone and the voice over's characteristics. Also, positioning the microphone slightly off-axis (30-45 degrees) from your head position instead of squarely in front of your mouth will reduce the amount of breath that hits the microphone diaphragm. Take some time to experiment with your specific setup to see what voice recording best matches your project.