Well I've never done it myself so I can't get into a lot of the technical aspects, however, it looks like there's a couple of different options. Depending on your OS you could look into PHProxy, Glype, and I believe there's a way you can do it using Squid as well. I don't mean this in a smart-ass type of way but a quick Google search will probably bring up all you would need to know on how to set one up fairly easy.