After the latest update, I found that farming on extreme doesn't do the trick anymore for weapon proficiency. The current fastest way to increase proficiency is in fact to play on easy, and buy the weakest but fastest weapon of whatever type from the weapon shops, and assuming you're dual wielding which helps increase the process faster, fight either the boss in Subway A in the third area the Old South, or the boss at the end of Subway B.
The Subway A boss that you're normally supposed to run from while activating those 9 switches, killing it can increase your proficiency by an average of 50, while the boss of Subway B will increase it by around 30, but the latter is shorter to fight which can be more preferable with some of the weapon classes. I stuck to just repeatedly fighting the Subway B boss for the photon sword proficiency which took the longest to get to 1000 by far.
*Sniper Rifle and Gatling Gun are the only ones that don't have any kind of dual wield function (dual wield grenade launchers for the Launcher class), but with these bosses they didn't really take longer than the other weapon types. While using the Gatling Gun, I recommend using the Heat Detonator skill that is exclusive to the Gatling Gun class, which quickly discharges much of the heat level of the Gatling Gun, so use it as you're about to overheat to save yourself some headache of not being able to shoot for a good minute or so.
Things I did that made survival easier during the farming process, was just using the skills Armor Form (increase your defense) and Power Break Shot (lowers the enemy's attack power) on the bosses, while having one or more healer in my party, but to ensure they don't do much damage to the bosses, I just kept picking the order for them to rendezvous on me.
You can rotate between whatever characters though if you want to increase anyone's affinity during the weapon farming process, since returning to town after a fight increases affinity by a small amount and you'll be doing that a lot and for awhile, between fighting either of the area 3 bosses and returning to town to deposit or sell materials so you don't become overweight, or to restock on ammo, etc.