On a similar note, I have this aliased in my shell (.profile) so I don't have to think before getting a proxy up:
alias socks="ssh -ND 8887 -p 22 rufus@12.120.186.8"
That way I can just open a shell and type "socks" and be good to go (well and then do the system preferences deal, but I have an AppleScript that does that automatically).