Here's how I'm doing it:
1) Get a dedicated server in the US. This might run you $100/month for even a decent one, so hopefully you already have one, or have some friends to split the cost with. Failing that, you could try a VPS - since this doesn't use much resources, it should work, and it's a lot cheaper. I already had a server I use for some random webhosting and related stuff, so that's what I'm using.
2) Get PuTTY, and set up a SSH tunnel between your local machine and your server. Set it to forward port 1080. Make sure you select the "Dynamic" option. Log into your server and minize PuTTY.
3) Get an application to "socksify" WoW. I'm using SocksCap (free for non-commercial usage) which some people claim to be a bit less buggy that FreeCap.
4) Set SocksCap to connect to localhost (127.0.0.1). Start WoW via SocksCap.
5) Enjoy going from ~550ms to ~290ms latency.
May not be the easiest way of doing this, but since I had the server and routinely use PuTTY anyhow, it couldn't have been much easier. 90% of the time it took to get it set up was just waiting for SocksCap to download and install. And as an added bonus, there's no need to set up a socks server or do any real configuration of your server or firewall. All WoW traffic is tunneled over SSH. (This is also a good way to bypass corporate or university firewalls, or to fool attempts to determine your location via IP - which is good if you like to listen to Pandora. Not that I'm advocating ignoring your employer or educational institutions network use policies, of course!)