1) Here is good. :)
2) On a separate server to the database server is best, this can be a dedicated server, or it could be installed on app servers as well. It can be installed on the database server (and people do this for things like Query Analysis with MySQL Enterprise Monitor), but if you want to use it in a load balancing or HA set up, it's best to keep it off the database servers (because if the systems fail, proxy will fail).
3) Yes, see above.
4) R/W splitting has not moved forwards much unfortunately, it still has a number of limitations (listed here http://forge.mysql.com/wiki/MySQL_Proxy_RW_Splitting
). We're currently working on re-working some of the core architecture to make a more scalable proxy, and this will likely be re-visited once that work is complete.
Senior Software Development Manager
MySQL Enterprise Tools @ Oracle