This is a method to create a proxy which is pretty simple and does not involve using shady websites or proprietary applications, etc.
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First, create a server, such as a DigitalOcean droplet.
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Once the server is created, verify that you can login via SSH:
$ ssh user@<ip>
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If that is working, creating a local [SOCKS5] proxy using OpenSSH is just one command. Here is one suggestion: