I've used the privoxy method almost since I got my N800 (2.5 years ago). I still use the default config, in other words I haven't needed to edit anything.

Re. the cons about privoxy in the wiki: It's true that privoxy has to be enabled or disabled per configured network. So, it won't ever work for those cases where you connect to a network you don't plan to save (e.g. a visit-once open access point in a place you don't re-visit). But for saved connections you can save two configs for the same network, one with privoxy enabled and one without. That takes care of those (rare) cases where privoxy negatively interferes with something -- just switch "network" to the version without privoxy (that is, proxy,) enabled.