That's not nearly as fast as a real VPN client, though. I used to do the same and it just didn't work well. Nowadays I have an ultra-cheap (3€ per YEAR, from lowendspirit) VPS in the US (it doesn't even have a public IPv4, just 20 forwarded ports) on which I run OpenVPN. I also run another OpenVPN server on my primary server which is a 6€ per month root server in France (kimsufi/OVH).