Thanks for your help.
On_Interrupt is used in post #14. The manual says that when On_interrupt is used, the incoming interruption just sets a flag, and the interruption routine will be executed after the current basic instruction has ended (and not immediately).
The PIC is also driving five multiplexed seven-segment displays. Each display is on for 3 ms, so if I used On_Interrupt, I would have to break the delayms 3 into hundreds of delayus in a for-next loop.
That is why I wanted to use an assembler interrupt routine. But there seems to be no way of telling Proton that the assembler routine should be placed at Org 4.
I will try using the for-next loop, and see what happens.