Running a server even to proxy requests takes a lot of work, since you now need your own auth system and have to manage scaling. If you take the plunge, a serverless architecture like Cloudflare Workers makes scaling automatic, but you still have to do some heavy lifting to either have an API key or auth system and abuse protections (otherwise they just spam your API instead of directly stealing your OpenAI api key).

You probably don't need to scale if all you're doing is auth and proxying requests. If you get to the point where you do need to scale, you can probably afford to figure it out.

Er.... Just ask gpt4 to how to do it obviously.

Or, a lazy ChatGPT auto-generated code copy-paste thing.