Yes, proofreading on the Kindle works for me. I change it to a mobi file using Calibre (it's free). I just send it to my Kindle using its
XXXX@kindle.com address. While proofing I highlight the problem sentences and then sit down with the laptop and make the adjustments. (You can just open up your highlighted stuff from your Kindle menu)
I've also used the audio for proofing too and that works too. You'll just have to play with it and see what works for you.