I have'n used VPN but i have built & sold many proxy servers. They keep logs indeed but only if you get one who keeps... On SourceForge is a project called Mocks and is currently version 0.0.2
You can configure it easy.
PORT = 10080 # Port MOCKS is to listen to
MOCKS_ADDR = 0.0.0.0 # IP adress MOCKS is to bind to
LOG_FILE = mocks.log # MOCKS log file (Guess you can remove that)
PID_FILE = mocks.pid # File holding MOCKS's process ID
BUFFER_SIZE = 65536 # Traffic buffer size in bytes
BACKLOG = 5 # Backlog for listen()
NEGOTIATION_TIMEOUT = 5
CONNECTION_IDLE_TIMEOUT = 300
BIND_TIMEOUT = 30
SHUTDOWN_TIMEOUT = 3
MAX_CONNECTIONS = 50 (This is the max number of connections YOU CAN MAKE)
Then on Linux/FreeBSD/SunOS just use ./build and you will have your own socks5 server configured.
To start it just
./mocks start - start socks server
./mocks shutdown - to stop it
./mocks help - to see some things i just write in here :)
I think that there is a -f argument to force socks server to start.