File storage sites are the way to go. Rapidshare and Megashare etc. You have to find a site that spreads the sharing information, but that is only a google away. Most of the sharing community are doing it this way now and it will probably be a few years before anyone trys to tackle this method.
Proxies and anonimizers dont work with P2P. The computers IP has to be 'out there' for the sharing to work. If another computer can send you the data, then you can be found.
The best advice however is to buy or rent the music or films. I have musicians and artists in my group of family and freinds, and the whole piracy thing does affect how they plan out their future.