As someone who is tasked with stopping employees from getting to proxies, I can offer a bit of information.
I use a real-time updated list of public proxies. Getting more draconian, I set up some filters which actually parse the html packets going to employees' computers. These filters look for the text string "proxy", among others, and kill the whole page if strings are found (technically, we shut down the TCP/IP session). KoL is not what we are trying to block
per se...one really would not believe the sorts of things people do while being paid by the hour.
I also block all encrypted http sessions (HTTPS) except when URLS are white-listed by management request. Unless blocked this way, you can do whatever you want inside the encryption layer.
Xenthes' use of logmein is a good idea. You want to avoid standard proxies. Services which "executive"-type people in your own company use might be a good dodge--for example, gotomypc.com, webex.com both offer personal access to a home PC. If your company is a bit more permissive (meaning, they block known bad rather than only allowing known good network traffic), then you could even just use Microsoft Remote Desktop from your office to your home (XP Pro, Vista Biz/Ultimate only) or if you do not have that then use VNC instead. Both of these require you to set up the services on your home PC and to allow the TCP ports for those services to be directed from your router to the IP address of your PC (pretty much requires you understand how to set up a static address on your home PC).
So good luck against "the man".

...and he is me!