This is a good tip. Sooner or later the organization, 'You Must Not Object' (UMNO) would want to block sites. One good example is this site Faith Freedom International, which is already blocked. You can actually go to that site after downloading Ultrasurf here.
Here is a step by step tutorial on how to go about it. This site mainly caters for the citizens of China, where internet censorship is rampant. Forget about this if you want to use it for porn sites, it does not cater for that.