It is easy to download via HTTP from unshaped sources. You don't need to run a VPN/tunnel. You find the stuff you need on an FTP or HTTP site or you use a lesser known host. Easy-peasy.
The problem is MWEB says downloading at line speeds for a period of time is considered abuse, bypassing shaping or not - so you're probably better off just sticking to a known shaped source.
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What I've found interesting - sometimes newsgroups crawl, and torrents fly, then torrents crawl and newsgroups fly - Ithink MWEB change their rules to heavily shape one pool at a time.