I remember reading about that one P2P app that supposudly kept people's info anonymous and private.
And, what, 2 Japanese guys get busted? Even while using the "Winny" anonymous file-sharing network. Worked real well, huh?
My search for that brought me upon
http://www.theregister.co.uk/content/6/32533.html
Atleast JAP is trying to work this stuff out.
So yeah, it does appear anonymous proxies do log your info, and can still hand that info over to the authorities.
You can always try an anonymous proxy (There are tons of lists of them on the net, it just takes a little searching to find some that still work). Though how secure that would be, I won't guarantee.
You can also try something like The Proxomitron, which won't exactly mask your IP, but it block sending stuff like referrer headers, fake user agents, block malicious java script, stop cacheing, stop meta tags, stop web bugs, block cookies —its capable of most anything.
http://www.proxomitron.info/
May help somewhat.