For some reason I'd never considered highlighting or annotating on the Kindle while proofreading - I just used a digital voice recorder to record the problem instead! Quite embarrassing to realize there's an easier way of doing things
Anyway, to make up for that, here are three more things that I've found useful.
- When proofreading, always keep adjusting the font face, font size, line spacing, and margin spacing - thankfully the Kindle makes this easy! The reason is that when proofreading you want to keep your eye/brain in the "whoa, what are those letters?" mode, rather than the "yeah yeah blah blah fill in the words blah blah" mode. Shaking things up all the time really helps (cf Wikipedia article on proofreading)
- I use a statistical approach to get some assurance that I'm done - because unless you're really good, one pass won't catch EVERYTHING. When I think I'm done, I set font/line spacing/margin to cram as much as is readable on one page, then jump to 10 locations spread evenly through the book (e.g. if the book has 31,000 locations, then jump to 3000, 6000, 9000, ...), and read each of 10 pages in isolation. Again, this breaks up the flow of reading, and since I "only" have 10 pages to read, I can really concentrate and find every single problem. If I don't find any, I call it done. Otherwise, I fix the errors, then offset by a bit (e.g. 3100, 6100, 9100) and repeat the process. You can tune the number of pages here to taste, depending on how much confidence you need

- As soon as you find an error, think about how to prevent it in the future - for me, this means a regular expression that I can use in Sigil to search for the same error. I now have quite a collection of them that I can run, which catch a lot of the common errors before I even start proofreading.