It does work, but only at a fairly superficial level. Different sites use different methods of determining your location, and most still won't work if that's all you do.
Getting a proxy server is sort of the mid-level option. You can get free proxy servers, but it can be very hit-or-miss. A better option is to subscribe to one. It's not expensive, and it's much more reliable than trying to find free ones.
This will work for some, but not all, sites. It just depends on what sort of authentication they do.
The best option would be a VPN. That's going to let you use basically any site. Again, it's something you'd need to subscribe to, but is still quite affordable.