In theory, all I have to do is this:

location / {
proxy_pass http://proxy;
}

location ~ \.php$ {
fastcgi_pass php;
include fastcgi.conf;
}

However, I have a script that is processed like that on a normal single server setup:
location /forum/ {
try_files $uri $uri/ /forum/data.php$args;
}

How would I make the try_files work with the load balancer scheme?