I wouldn't sweat it.
One thing though, and I'm not trying to be an asshole, but a VPN is different than a proxy. With a VPN all your traffic is encrypted through the VPN server. That basically includes all internet browsing and downloading, downloading torrents, email, any IM service you might use, etc.
I'd recommend Private Internet Access since I like their terms, prices are very reasonable, speed is pretty good, and their stock software offers some crazy encryption options. Just make sure you connect to their Switzerland server. (On a blog post a few years ago they mentioned that they recommend anyone who torrents to use their Switzerland server.) Oh, and it's really easy to set things up if you haven't used a VPN before and they also let you use their servers on your iPhone. (Most VPN providers limit how many devices can be connected at once.)
Feel free to ask any questions or PM me if you need help setting it up or any other questions.
Personally I'd avoid a VPN in a 5 Eyes country (Can, US, UK, Aus, NZ), the developing world, or the former Warpac countries-- The goal there is to create as much of a cross jurisdictional clusterf*ck as possible, without being scammed, or looking like a 'really bad guy'. Sites like Torrentfreak often have 'best of' lists that are pretty good. See:
http://torrentfreak.com/which-vpn-services-take-your-anonymity-seriously-2014-edition-140315/ I'm suspicious of PIA because of where it's from, and how much mainstream coverage it's got (mind you it's still probably fine for music, movies, and legit adult porn).
If you want your VPN to just magically work for everything on your home network sign up with a service that supports OpenVPN and configure your router to connect to the VPN via OpenVPN. If your router doesn't do OpenVPN (or is pre bash/heartbleed and has no updates) buy a new router that does OpenVPN, or re-flash it with something like dd-wrt
http://www.dd-wrt.com/site/index (or one of the other major alternative router firmwares). Please note, re-flashing a router with a non-vendor firmware isn't for the faint of heart and can brick the device, if this scares you buy a router that does OpenVPN, and update it with the newest version of the manufacturers firmware.
If you don't want the VPN to magically cover your whole home network then set up individual connections per device (preferably using something open like OpenVPN and not necessarily the vendor's tool unless you have to).
That's my .02.
Oh, and never respond or acknowledge to a copyright threat until they actually serve you with legit papers (which, even in this era of 'notice and notify' in Canada, has yet to happen, AFAIK). Then talk to a lawyer, not the group that served you.