The steps to enabling or disabling the Intelligent Proxy are in the Advanced sections of the policy wizard, you you can do it as a part of the Policy Wizard when creating a policy or directly within the policy summary on an existing policy. This article will help you get it configured correctly.
Policy Wizard - New Policy
Navigate to Policies, then select step #2 of the Policy Wizard after you've picked the identities. Under "What should this policy do?", drop down the Advanced Settings, simply enable the slider:
Alternatively, navigate to an existing policy and open the Advanced Settings in the Summary Screen:
Once it's enabled, it's good to check whether it's working as you'd expect. To read about testing the Intelligent Proxy, click here:
To disable the Intelligent Proxy for testing, or for a group of users, simply uncheck the Security Setting and apply those changes.