If you use a computer like most people--if you don't then you're not reading this, and so you're not one of the people concerned--you have an IP address that gives the physical location of that computer. No matter how many proxy servers and firewalls and whatnot you use, the government will spend as many taxpayer dollars as they feel like spending to break through them.
Ask Bill White. His little expedition lasted what? Three weeks? It might have lasted longer if White hadn't insisted on maintaining his blog and updating his Facebook page, while taunting the FBI that they couldn't find him because he was such a brilliant computer whiz. He annoyed them, and so they found him, of course. In Mexico, of all places. (Why the hell would a so-called National Socialist try to hide in Mexico? Well, White never was the sharpest knife in the drawer of a Movement by no means renowned for well-honed blades to begin with.)