Shopify App - How to inject React in theme using App Proxy?

Overview

I'm developing an app and I'd like to inject a widget in the store (the theme, not the app's front-end) coded with React. My app is already setup with NodeJS/Koa/ReactJS, all I need is to inject some code into the theme now.

I am aware that I can do this with a Script Tag, however I'd still have to use vanilla JS to code what I want.

So I looked into App Proxy. I added a simple index.html file to my proxy path to test it out and it's returning 404.

Question

1. What type of files should be served within the App Proxy? Just html, css and js like a normal app?
2. Is this actually the best way to implement React in a store's theme?

Kindly help me if you can, I'm very confused with the documentation. I'll provide any additional information needed.

Thank you!