I actually have this same problem and would love to know the answer. I keep my phone in my pocket most of the time. When I get a call, the screen turns off before I get the phone out of my pocket nearly every time.
I'm then tempted to press the END button to turn the screen back on. Of course, this hangs up on the caller. I get the proximity thing, but how about giving me a few seconds to get the phone out of my pocket and see who is calling before the screen turns off?
For all I know, there may be a way to do this. I just haven't found it yet.