I've been using my own proxies for years, just a plain SSH dynamic SSH tunnel (SOCKS). It's pretty easy to do with a cheap linux VPS. If you want, you can set up a tunnel on one local port and another one (from another VPS) on another port to be used by different applications. Firefox can be configured to use it and query DNS over it as well, making it completely transparent. On linux things work out of the box, on Windows clients I use Putty to connect to the VPS.