Proxy software e.g.Anonymity Gateway - is it safe to use?

hi all, im looking at getting proxy software such as Anonymity Gateway. but what i wanted to know is does it work? and secondly is it safe as i have heard a lot of people say that these proxy owners will sell your info such as ip logs to websites to companies and for people that download illegal software the riaa and mpaa could come after them? is this true?

is it worth getting to get anonymity, if not what is best to use when just on the net (not p2p)

thanks

no its not safe to use, your likely to be checked out because your choosing to be anonymous, and its slow for me, but hey.
its a trap for users who need to hide some private info.

i thought so, thanks for the info. is this site legal? as i know they host nzb files etc