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And yes, it will only happen when joining other people because otherwise you're either the host or singleplayer. There's nothing much you can do to avoid that.
Your best hope is to port forward 11155 in your router (google it if you don't know how to) and then host matches to other people, but disabling the proxies in the game host options.
Unless your clients are very away from your physical computer position, then they won't most likely have lag. Once again, you won't have lag at all due to being host.
But remember: Even if everything is set on your end, when joining other people, you will STILL have lag if they have bad connection / proxies on.