I wouldn't recommend doing it all. I think its an easy way to lose your job. In fact, if you spent all this time working, that you have trying to circumvent the rules, they most likely never would have spent the money on the proxy.
They most likely have logs that look for any connection going outbound to IP addresses that they've blacklisted.
Your best chance to do get away with it is to use encrypted channels utilizing ports higher than 1024 and most likely higher than 6500. Don't use backup http ports 80-88, 8080-8088, or 443. Don't use SOCKS ports for that matter as well.
I'd try and use persuasion...
Here's a recent article on web surfing at work...show it to your bosses...try and get some feedback on at least getting a few websites returned.
http://www.msnbc.msn.com/id/12462332/