I'm trying to create a proxy server, and am having trouble decide on a trivial thing -- the port number on which it will listen. Is there some kind of convention on which port a proxy server should run on? Or should it just be greater than 1024?
Normally, you just pick a port and make it changeable for the user (or yourself). Simply, if it is already used on the system you run your proxy on, use a different one.
Many free proxy servers even listen (e.g. this) to default ports, like 8080. As long as the port is not in use on your system, it does not matter, as the real port is negotiated after a connection attempt.
For your interest, a list of registered ports can be found on the IANA (Internet Assigned Numbers Authority), which manages stuff like that. That is only a hint. I normaly use a random port like 8888 or so, even if someone somewhere already uses that.