The proximity sensor should activate before you touch the phone, otherwise that is not 'proximity', it is direct touch!
If you think the sensor is not deactivating the screen early enough try a genius bar appointment, they may be able to tell you if it is abnormal - it does sound less effective than my experiences with multiple iPhones.
If you have Applecare or remaining warranty there may be a replacement offer etc. You will want to backup the device before going - there is a good chance they will ask to reset the device to factory conditions. You could try that yourself if you want to help the process move faster - just test without restoring a backup, then restore the backup.