You can apply a shader to your render proxy in one of two ways. You can retain the render proxy’s original shader assignment, or you can assign a material to the base geometry, and then apply that to the render proxy as well.

To retain the render proxy’s original shader assignment, when exporting your geometry, select File > Export Selection > , and then ensure that Export materials and Export material assignments under File Type Specific Options are selected.

Otherwise, if you de-select Export materials and Export material assignments under File Type Specific Options, your render proxy will be exported without its material and material assignment. When you assign a material to your base geometry, this material assignment is also applied to your render proxy in the final render.