1) Part of the answer depends a lot on the kind of company you work for. I used to work at a Fortune 100 defense contractor, and I can tell you any decent IT system will red flag unknown encrypted data leaving the company network in a heartbeat. They're not looking for someone accessing blocked sites, but that kind of activity can look a lot like a sophisticated attacker has compromised the company network and is stealing data. That kind of attention will get you terminated.
2) Most companies routinely install monitoring software on company devices. It's cheap, effective at keeping employees inline, and it's a great way to document 'cause for termination' when you want to fire someone. So, you should assume they can see everything on your screen, and log everything you type at any time. All they need is a reason to come looking.
In short, most companies will terminate you pretty fast for pulling something like this. It's not a matter of if you'll get caught, but when. So, you'd better be sure watching youtube (or whatever you're up to) is worth loosing your job over.