Proxies are great, though they do stop the tournament from being sanctioned. Rule No. 1 of proxies, however: run all your proxies past the tournament organizer BEFORE you start a proxy tournament. Some places have different standards for what is acceptable!
I'm a huge fan of people who do more with their proxies than just put sharpie on basic land. That's lazy, man. If you're not gonna shell out $10,000 to play Vintage, I don't blame you, but at least put some effort into it. In my mind, the goal is threefold: (1) Proxy must be indistinguishable from a regular Magic card in a sleeve by touch or from the back; (2) Proxy must be easily distinguishable from a real Magic card from the front so there's no risk of counterfeits getting into circulation; and (3) Proxy should be fun, entertaining, or demonstrate some effort.
Along those lines, here are my suggestions.
1. Draw or Print Your Own
As people mentioned, acetone will strip the ink off the surface of a card, leaving you with a big blank white slate. Just tape it down and gently rub an acetone-damped rag on it for like ten minutes. Or, you can go buy some of those blank cards they sold with the World Champion sets -- they're on ebay. In fact, some people on eBay also sell sets of blanked cards, so you can do that, too. They're not too expensive.
Once you have it blanked, you can pick up a pen and draw on it. Or, with the right printer, you can print on it. I don't recommend printing on a transparency or sticker, because that changes the thickness of the card and makes it distinguishable from the back. If you chose to print, then use some alternative art. It looks better, and then there's no fear anyone will ever mistake it for the original.
2. Order Some
There's lots of places that specialize in proxies. Check it out:
https://www.etsy.com/search?q=magic%20proxiesI've actually ordered a few from different folks on etsy, and I can report that they match the three criteria I laid out initially. You can get really sweet alternative art, including art that does not include any of the WotC copyrighted artwork, and it will NEVER be mistaken for the original. Even if you were shady and got the original art, the printers these guys use are nowhere near as good as the ones WotC uses. You can tell that it's not legit even in a sleeve if you pick it up.
However, I can't tell you how they strip cards; some that I got felt a little thin so they might be sanding them. If so, then the thickness isn't the same and won't work. Also, make sure you don't get stickers or something from these guys, either, because the thickness will be wrong.
The biggest concern I have with these is that it's hard to tell if the original artist of altered art gets credit when you do this. It seems like most artists have Deviant Art pages nowadays, though, so if it you were really interested in this you could probably look them up and make sure it's cool with them if you get their art on a proxy.
And here's what NOT to do, in my opinion:
1. Don't just sharpie a land.
This is so totally lazy. I mean, I get it, if you're making last minute changes you don't have a proxy sitting around. Certainly these do the trick and there's no concern about differentiating the card from the back. Some TOs insist on this as the only way, because it's so foolproof and easy to check. All of that said, it's just so uninteresting and it makes the board state hard to understand at a glance. I hate this.
2. Don't cut the corners off CE cards.
People who do this are carving up a limited part of Magic's history in the mistaken idea they can match normal card's corners exactly. Please, please don't condone this behavior.
3. Counterfeits
If you have a "proxy" that is indistinguishable from the real deal until you bust out the jeweler's loupe, then you don't have a proxy at all. You've got a counterfeit. You should report whoever you got it from to WotC.