Do you find your browsing speeds increase when you do this? I ask because I'm assuming the page loads faster without the ads but it must be offset (to some extent) by the VPN connection. Also, can you link to any examples on setting this up on an Android device?

Here's an example: pfSense 2.1.5 (which can be run in a Xen VM) with Android, iOS, Windows and Linux clients, https://blog.andregasser.net/how-to-configure-ipsec-vpn-on-p...

I'm still setting this up so don't yet have field data on performance, but 4G LTE ping times are about double the latency of home broadband, http://blog.catchpoint.com/2014/01/15/theres-no-avoiding-net....

Filtering in this way does provide a significant speed hit if you choose to use your home router but nothing is stopping you from using a VPS instead.

For me the primary concern is privacy and security and using the always on VPN is the best way I've found to protect what I value.

Nothing gets out without my expressed consent, just the way I like it.

Are you using Android or iOS? There seems to be flakiness on iOS8 where the VPN gets disconnected during a change between WiFi and Cellular, or if the device is locked.

I'm using android.

The VPN can drop out when I change networks, but it reconnects in less than a single second under good conditions, and that's not an exaggeration. I use a plain ipsec xauth VPN.

Having tried both ipsec with l2tp and openvpn SSL VPN, ipsec is the only one I can get to reconnect in under a second. All the others take at least 5 seconds to complete a handshake.

You don't need to VPN. A DNS server works as well as a hosts file and is much faster than putting every request through your network.

Good point. VPN can be used to deliver the ad-blocking DNS server to multiple mobile devices, enabling access to VPN-hosted files while leaving most traffic on the cellular network.