Not only is it not enough to hide your activity, but you are most likely risking a reprimand (or even termination) for what you are doing. The fact you are attempting to hide it will only make matters worse.
If you have a legitimate need for internet access, then follow the appropriate proceedure to have it granted. With Proxy Server (and a host of other network management tools, packet sniffers etc) your browsing activity can be detected and logged. Depending on how much effort they want to put into the monitoring, they can most likely determine not only what sites you accessed, but what applications you were using also (instant messengers, ftp, etc).
I recommend you stop using the internet access without permission immediately...is it worth risking your job over? If what you are doing is work related, you should have no problem getting access permissions. If it is not work related, then you have to ask yourself is it worth the risk involved?