On RDP Proxy RDP sessions is possible to execute a file transfer, to do this use the keys shortcuts CTRL+C to copy from the original location and CTRL+V to paste in target location. It is possible to upload and download files on RDP Proxy sessions.
While the transfer is on going will be displayed a window similar to the one below:
You can also map a local disk using Remote Desktop Connection, as shown below:
This setting will map your local drive in the target device and it will allow you to transfer files.