OK so I'm going to tackle Mad Moxxie in the next week or so, and I keep hearing people suggest that you shouldn't try it until your proficiencies are near lvl 50.
 
At the moment my combat rifle is at about 30, snpier at 25 and everything else WAY behind.  What's the quickest way to level them up fast?

Go grind in Old Haven. That will surely raise them.

Some kind of ammo regeneration class mod. And Old Haven does sound good.

Yeah, Old Haven is a real good place, if that's what you're into. 

If your a Hunter then Eridian Promontory is the best with Trespass(w/ 5 points to it gives you 100% to ignore shields and Guardians have high shields and low health) plus you can find some nice loot while your at it.  Just don't forget the red chest to the left rapped around the cliff when facing the entrance to the vault.  

I agree with everyone who said Eridian Promontory, as someone who has max proficiencies myself.

I'm at the beginning of playthrough 2 around level 42 and my highest proficiency is ~20 (Roland, CR) 
I find myself switching weapons based on situation.  should I just stick with CR/Machine Gun combo for close/far to get that proficiency up as quickly as possible? 
 
other proficiencies are between 8 and ....  say 12 or 14

Thanks for all the great responses guys, just for the record I'm using a soldier class with ammo regen, from the looks of the posts I think I'll end up heading to Eridian and grinding it out that way.

Does the level of the monster and your level affect the weapon level up? Like, I'm a 47 hunter with 31 sniper, 15 eridian, pistols, smgs, 0 launcher, 0 shotgun, 5 combat rifle... I have trespass and all I really use is sniper rifles. I'm on plathrough 2, but if I load playthrough 1 and go back to the alien place, will my proficiencies still level up well? Basically, will killing level 47 bandits and zombies be more effective for leveling up weapons than killing an assload of aliens? Thanks.