Not in France, at least not immediately. The antipiracy authority first sends you an email (1st warning), then an IRL letter (2nd warning). When you receive the IRL letter, THEN you should VPN (or SOCKS or whatever) for one year, then you can go turn it off until you receive your 2nd warning again, if that happens.
I received my fair share of 1st warnings during the past ~15 years. I only received my first 2nd warning this year. I configured a systemd service `ssh -D myvps` and configured deluged to use this SOCKS5 proxy. Waiting for next April to turn it off...