Hi
This is not an easy task and because the assets are from different persons it might not always work.
Internally the system works with layers. The "delete-groups" are normally defined by people creating the clothes. Some do, some don't. For the skeleton the delete-group would be the complete body, very similar to my Ava body. But not e.g. the penis and parts of the proxy which will be even outside the standard body.
Since a proxy is working similar to a normal piece of cloth it follows the laws. The order of these layers must be correctly given by z-depth parameter (e.g. when underwear should be hidden by outerwear, z-depth must be higher for outerwear). Mostly it was set to 50 because that's the default in MakeClothes
Maybe (I am not a 100% sure) it is possible to set the zdepth to a higher level for the skeleton (in mhclo-file).
Here was my example a few years ago using two clothes but same question:
http://www.makehumancommunity.org/forum/viewtopic.php?f=20&t=13833&start=12As you see I found the solution after some hours and did have the same problem.
On the other hand: it does not make much sense to combine sth which should be deleted completely, so switch proxy off and take this text as the pure theory