Proxy Chaining from Wan Exploit?

Hello,

I created my first successful WAN exploit (my own Kali VM device to my own Win7 device for pentesting) and was happy to be able to bring up the Win7 Shell over the internet.

My next step is to understand how proxy chaining works. For example, would the IP Address that I have in-bedded within the executable exploit at the time of creating it, be the IP address of the first Proxy within my chain, does this automatically deliver the exploit back to my Meterpreter session, as opposed to my own publicly facing IP Address? I have read up on multiple tutorials on Proxy chains and on creating exploits, it's tying the two together that I have found confusing.

Any advice would be appreciated thanks.