As an IT professional, currently working for a large Financial institution in SF.If the company supplied the computer, don't think about it. They will find out.
If it's your own PC then there is some additional work involved. But they can track where you went. As far as the anonymous proxies and thumb drives etc. We just block access to those sites as they come up. So your not getting out that way.
Now the reality is: Maybe we'll catch you maybe we won't. The larger the company, the more garbage we have to sort through. At the same time though, the more automation we employ and the more sophisticated the tools are.
If Management is looking for an excuse to get rid of you, guess where they come. Then we focus all of our tools and time on finding that one pic on your computer that will get you fired.
The rest just depends on HR and corporate policy. Now any kiddie porn and all the alarm bells go off and out the door you go.
Some basic stuff to minimize your exposure: Use Firefox and crank up the security settings. don't let it store anything. Set it to delete your cache and history when you exit. don't save any passwords. don't bookmark anything.
We may only run a scan once a week at night. So if you keep everything cleaned off, the scan probably won't catch it. If you leave it on there, we'll find it.
As far as the gateway stuff, the logs are huge and we only keep them for a short while. Again, if Management wants to get rid of you, we'll keep every log of everything you did for however long it takes. As far as the whole company, we just block stuff.
Now if you go downloading stuff to get around our security policy, guess what? Automatic dismissal. 
Best thing, get a phone with a full browser and use it. and don't forget to clear the history and cache before you get home.
Fly with me.