So two days ago I started fiddeling with Squid and pdnsd. I only just got it all working correctly and I must say, I'm not disappointed. The only gripe I have is mostly my own fault: I cannot grasp the correct usage of Mac OS X's "locations" with regard to networking. I cannot imagine that the idea behind that is that you need to change the location every time in the system preferences. However, that seems to be the only way I can get it to work correctly. What am I missing?
Anyway, after I installed both Squid and pdnsd from Macports, I set up Squid to use the pdnsd service that I have running on 127.0.0.1. I uncommented the OpenDNS lines and the root dns server lines (sorry, but I can't seem to find another solution for that one). After that I changed the proxy settings in Mac OS X and only added the http and https proxy. Pointed them towards 127.0.0.1:3128 and... well, that's it, basically. Everything works and my internet is more or less usable at this time. It's still not faster of course, but I can easily switch form site to site. I came to the realization that I mostly visit only a few sites, so those are speeded up quite okay.
So, if you're surfing through GPRS like I am now and you want to speed things up a little, make sure you check out Squid and pdnsd.