The problem with using proxies is that it's a tacit admission that you're violating corporate policy. It calls unneeded attention on you. The real problem is that you're tempting fate; if they decide to march over to your computer and check out the history and cache, they're going to find something to justify the search, and it's going to get very bad, very fast.
I did some IT security consulting back in the late 90's, and minor violations often trigger major investigations. Some of which are major (I found a guy who'd reset his boss' email database permissions to let him read it - while I'm impressed with the computer-savviness it took to do that without raising a ton of red flags, they still got fired), some of which are minor, but once the train's on the rails, someone's going to end up looking bad. And it's not the security guy. So don't tempt fate, and enjoy your CP in the evenings.
That said, porn ok, alcohol and tobacco bad????