Look at the project workspace, under Choreography. You see "shortcut to" for all of the Objects that have been placed in the Choreography.
If you look closely at that shortcut to model, you will see that you can click on it and get a dropdown of all the other models that are loaded into the project. So by picking another model, it switches places with the one that was there. It keeps all of the actions and animations that were done to the model beforehand.
So this is how you swap out the models. As long as they have the same rig, you can use any model.
A:M models are generally "light" in construction, so there is not a requirement that you use proxy models. You can speed up performance in other ways, such as changing the draw mode for different models in the choreography.