It’s always preferable. Most proxy sites are very slow due to the high traffic they are getting and depending how many sites the users are trying to unblock.

A proxy temporarily hosts the website for you. In other words, a web-based proxy downloads all the information, photos and flash you are trying to access and hosts it for you. If alot of people are using the proxy at the same time you are, you will notice a very low loading speed.

The good news is there’s a ton of proxy sites on the net and there’s always new ones going up and they’re fast.