If your school found out you were proxying to get around their security, even if you consider it a joke, you'd be in a whole world of ****.
I/we have been, many times. We have about 10 accounts because of people leaving last year and leaving us their PW's (I'm in upper 6th last year now)
Therefore our username doesn't represent us, or anybody who is at the school. Add to this the fact that every time they use any sort of screen watching software all windows go un-fullscreen and then fullscreen again, its an absolute giveaway that we're being watched.
The only times we ever use proxys anymore is for websites that we need for school that the stupid filter system blocks (You'd be surprised how many this is, especially when researching for Computing and the laws in IT, and case studies of hackers for examples)
Websites that I use that aren't blocked - OCUK, Proxies, Wiki, MSN hotmail, google searches for anything (if you put a space between each letter it still searches for the same thing but isn't picked up by the filter, only really for 1 word searches effectively.).
For facebook/youtube we have phones with 3G + contract (***)
I would, however agree with PMKeates on the matter. Write a short letter to them about why you were viewing them.
If I'm ever caught I usually emphasize how much I need the Internet for 2/3 of my A-Levels (IT, Computer & Psychology)