Connecting through proxys is the only way to "change" your ip address. Though it doesn't truly change YOUR ip, it does change the IP that thesite sees. Steganos does do this well.
The problem with spoofing your ip address is that you get no information back. Because it is sending it to the spoofed IP address. This method is most commonly used in DoS attacks. Because its use is very limited.
"The secret to creativity is knowing how to hide your sources."
-Albert Einstein Tech Ninja Security