If you want to try the latest version in your box, you can get the sources from the svn repository and build it yourself.
Then, you can build and install this way.
svn co http://svn.mysql.com/svnpublic/mysql-proxy/ mysql-proxy
That works beautifully on my Linux desktop.
./autogen.sh && ./configure && make && make install
So far, the good news. The bad ones is that on my Mac OS X laptop, things are not so smooth.
First, aclocal complained about missing macros. Jan was online, and he helped me fix the problem with an environment variable.
Then ./configure could not find the right Lua settings. More options.
Again, ./configure could not find libevent.
In the end, I managed to build the coveted proxy with the following instructions, which I saved in a shell script, because I am going to need it quite often.
Here it is, in case someone gets stuck on the same problem.
export ACLOCAL_FLAGS="-I /sw/share/aclocal/"
./autogen.sh && ./configure LUA_CFLAGS="" \
LUA_LDFLAGS= LUA_LIBS="-llua" \
LDFLAGS="-L/opt/local/lib/" && make && make install
Update 2007-07-02: Version 0.5.1 was released today. Now that's a fast development cycle!