My trick is usually just to setup a socks5 tunnel to a remote machine running OpenSSH. The nice thing about this is that you don't have to install anything on your system, and most people have access to a remote Linux/BSD-based server.
Nifty one-liner to set it properly up: "ssh user@host -D 8080". Then you just point your system wide proxy to localhost:8080 and magically see all your data be tunneled.