If you're going to use one, it's best not to leave it enabled all the time, only for when you want your IP hidden.
Using a proxy does create some problems though. For example, added hops and the proxy itself may have low bandwidth / experiencing overuse and distance factors comes into play too-- either leaving you with a slow connection. Also, do you feel comfortable having your traffic (logins, etc) route through a unknown node?
Factors to consider are, does the proxy you're considering support security measures like SSL, how close is it located to your proximity, such. Also, the proxies that are generally professionally administered require that you have a login with them. The ones that are open tend not to last long and I wouldn't trust them with any logins.
People who use proxies spend hours finding and testing them for anonymity and speed. Not all proxies are anonymous, and are often slow or die quickly. I have never had the need myself, personally. And as mentioned, you can combine Firefox (or Opera) and Tor (and others) for anonymity as well. A Guy
Try Your Freedom as well. There's guide's on there to getting set up. Need to download OpenVPN as well for it. Free accounts are only 64kbps, then there's pay monthly accounts for 256kbps, 4mpbs and unlimited speed (whatever your Internet connection is).
My Computer
Computer type
PC/Desktop
Computer Manufacturer/Model Number
Custom Built
OS
Windows 8.1 Pro x64
CPU
Intel Core i7 4790k
Motherboard
MSI Z97S Krait Edition
Memory
8GB Corsair Dominator 1600MHz
Graphics Card(s)
MSI TwinFrozr GeForce GTX770
Sound Card
ASUS Xonar DX/XD 7.1
Monitor(s) Displays
Dell 24" S2409W + Dell 20" E207WFP
Screen Resolution
1920x1080 + 1680x1050
Hard Drives
1x 120GB OCZ Agility 3, 1x 750GB Western Digital Caviar Black, 1x 1TB Western Digital Caviar Blue
