Add reference to our custom proxy page (#4315)

The "using a custom proxy" section header can be a bit misleading and seems a bit out of context without referencing our custom proxy page first. Adding the link may help with any confusion.

Author: sarahrudy

src/connections/sources/catalog/libraries/website/javascript/upgrade-to-ajs2.md

@@ -72,6 +72,8 @@ Previously, it was possible to attach `trackLink` to any element, and a `trackLi
 
 ### Using a custom proxy
 
+This will only apply if you've already [set up a custom domain proxy for Analytics.js](/docs/connections/sources/catalog/libraries/website/javascript/custom-proxy/). 
+
 Analytics.js 2.0 loads new files not usually loaded with Analytics.js Classic, so you'll also need to make sure these new files are considered in your proxy configuration. If the new files are not considered, Analytics.js 2.0 falls back to `cdn.segment.com`. You'll have to proxy the rest of the files used by Analytics.js 2.0 using a scheme similar to Segment's CDN. You have two options:
 
 **Option 1**: Update the proxy so that: