Application state management has been a well talked out subject around here; its been wrestled up one side of the swamp and down the other.
Proxies store data, and 'state' is arguably a form of data, so using a Proxy seems reasonable at first.
However there is one precept that should always be kept in the forefront of your mind when designing the Model tier for an RIA client:
The Model may be reused in another application. Let this be your mantra. Imagine separate web, desktop and mobile clients being built on the same Model, just executing different use cases with a different UI.
In that light, storing state in a Proxy doesn't look so good. Because state is part of the application, not the domain model.
I can definitely agree with your eschewing the utilities until you get the basics down. However, when it comes to implementing state management within the client I must suggest that you have a look at the StateMachine utility and save yourself a lot of heartache. It's very simple to understand and use. Put on your headphones and have a listen to the overview presentation:
http://puremvc.tv/#P003/-=Cliff>