You might find http://www.codeplex.com/SQLServerFineBuild helpful. I published FineBuild to help provide a 1-click install and configuration of SQL Server 2005. It has a section in the Reference manual on creating both the xp_cmdshell and SQL Agent proxies.
Original author: https://github.com/SQL-FineBuild/Common/wiki/ 1-click install and best practice configuration of SQL Server 2019, 2017 2016, 2014, 2012, 2008 R2, 2008 and 2005.
When I give food to the poor they call me a saint. When I ask why they are poor they call me a communist - Archbishop Hélder Câmara