Yes - this is a great way to remain anonymous while browsing, but it could slow your browsing speed down signifigantly as well. You are sending your request through the proxy server, and the proxy server completes the request to the webpage you want, which returns the page to the proxy server, who then returns the page to you. You will be limited to the proxy server's speed - however - many proxy servers are now caching webpages, so if you frequently visit the same webpages, they will load faster and faster.
I guess there is a trade-off choice to make: High speed - vs - secure browsing...
