Proxy Firewall is an innovative program that requires programs to use a proxy at the socket level. It works with SOCKS 4 & 5 proxies and HTTPS proxies. Also, it will allow you to selectively choose which programs are affected by it. For example, if you're running AIM and FireFox at the same time, you can choose to allow AIM to operate without a proxy and still surf the web safely on FireFox with a proxy. It is also possible to set up proxy chains, and rotate proxies randomly or by time.
The first time using Proxy Firewall can be a little confusing to novices, so here is a basic tutorial on how to use PF (Proxy Firewall).
Now you can surf safely knowing that you are not leaving an IP trail everywhere you go. Bear in mind that if your connection seems slow, that's because your speed is only going to be as fast as the proxy server you are using. Often, I'll find the fastest one and just use it for awhile.