Yes it halves the damage done by fire-type moves, and halves the damage each turn from a burn.
Levitate is in general a better ability because it makes you immune to ground moves rather than just decreasing their power.
But since nearly every Bronzong you see in battling has Levitate you could probably get away with Heatproof and your opponent wouldn't even try a ground move. But they might realise when fire moves aren't doing much damage.
