Greaseproof paper is exactly that - grease proof. This is because it contains wax which creates a barrier for oily and fatty foods. Hence it is quite suitable to wrap fatty foods such as cheese, sandwiches, etc. However, because of the wax content, it is not suitable to use with heat. Note: It is sometimes referred as wax paper.
Baking paper is paper coated with silicon and therefore can withstand heat up to approx 230 deg. Up to this heat, it is completely non-stick and ideal for baking with sticky items such as sugar, cheese, butter, etc. Note: It is sometimes referred to as parchment paper because it resembles old parchment paper.
And while we are on wraps, I have been informed by a major manufacturer, that cling film is made from polyethylene which is food safe. You need to check various brands to see that it is not made of PVC which can be harmful in a food environment. Cling film shrivels when wrapped around oil, sugar or acidic foods because the food reaches a higher temperature.