Recently, I've seen many posts about how unreliable VPNs are. Here's a guide on how to set up your own VPS—each one counts. If it's not stupid, it's malicious, so I just block them directly.

Buying a server to set up your own VPS for bypassing restrictions is explicitly illegal—penalties range from fines to criminal charges.
For personal use: it’s an administrative violation, which can result in warnings or fines (up to $15k).
Sharing/selling accounts or providing access to others:
Suspected of providing tools or programs for unauthorized intrusion or control of computer information systems (Article 285 of the Criminal Law). Serious cases can lead to criminal charges and fines.
Some say using proxy services is also illegal. That’s the service you purchase; the main illegal party is the proxy provider. You’re just a user—at most, you’ll be asked to write a guarantee letter or similar.
But setting up your own is different. You are the proxy provider. Do you know why proxy providers are usually overseas? Because in China, they can be arrested at any time. I knew one proxy provider before—he couldn’t sleep when he heard police cars, afraid of getting caught.