Generally speaking, the more sophisticated a proxy honeypot is, the more likely it is to be hammered by a blacklist. Because of this, and the resulting headaches, only senior network and mail administrators working in concert should set up a proxy honeypot. While it's easy enough to do that any technically savvy user should be able to set up a honeypot, the resulting enterprise wide implications makes it a lousy idea for individual users.
Indeed, were someone to try to set up such a honeypot on their home PC with their ISP, which is certainly doable, it wouldn't surprise me a bit if the owner found their own Internet account in jeopardy.
Of course, a lot of spam is also send via free e-mail accounts and simply setting up a spam mail server at home using a DSL or cable connection. Still, open relays account for much of the spam that fills our mailboxes and eats up our bandwidth, so honeypots should be considered as a method of finding and targeting spammers.
Unfortunately, spammers can still pick up and start another spam scheme in a matter of minutes, but the profitability of spam is built on minimal investments. The more work we can cause spammers, the more likely it is that they'll stop spamming.
Honeypots, though, come with their own risks. Once it's known that a site uses honeypots, there have been reports that they've been targeted by distributed denial of service (DDoS) attacks. Guilmette, himself, for example had to take down his blacklist service because of DDoS assaults.
In case you haven't noticed, it's war between network administrators and spammers and spammers won't hesitate to try to stop anti-spam efforts anyway they can. The fact that spammers would co-ordinate such attacks suggests that honeypots can indeed be effective.