Adding onlyOwner to it

Currently, anyone can update the implementation of the contract. Lets change that so only owners can change the implementation

// SPDX-License-Identifier: GPL-3.0

pragma solidity >=0.7.0 <0.9.0;

import "@openzeppelin/contracts/access/Ownable.sol";

contract StorageProxy is Ownable {
    uint public num;
    address implementation;

    constructor(address _implementation) Ownable(msg.sender) {
        num = 0;
        implementation = _implementation;
    }

    function setNum(uint _num) public {
        (bool success, ) = implementation.delegatecall(
            abi.encodeWithSignature("setNum(uint256)", _num)
        );
        require(success, "Error while delegating call");
    }

    function setImplementation(address _implementation) public onlyOwner {
        implementation = _implementation;
    }

}

Try to test this, and you will notice that the variables dont update as expected.