OpenVPN won't slow you down at all. I was worried about something similar, but honestly I can't even tell it's there. There might be a difference amongst providers, but I can't say that I've noticed any sort of latency issues like I feared at all. On the other hand, proxies would probably be much easier to use. If you're using it with GSA it'll be a lot easier to just load a list of proxies, instead of trying to sign on and off of your VPN everytime you want a new IP. I'm not terribly familiar with GSA though, so if it has a way to work directly with a VPN then that may not be an issue.