If you have a router that supports access restrictions for specific devices, you might be able to configure it to disallow internet access only for your specific PS3 (eg. by using the PS3's IP or MAC address). You may also be able to block a specific domain (playstation.net) by setting up parental controls on the router. These features aren't available on all routers.
Another option is to manually specify a fake DNS server in the PS3's network config so that your PS3 is unable to contact playstation.net. For example, set your PS3's DNS server to 127.0.0.1 which is a local loopback IP. Anything 127.x.x.x will not go out onto the network at all, much less onto the internet.
Yet another option is the proxy method you specified. You can set up a real proxy and block playstation.net or simply specify a fake local IP for the proxy.
Lastly, you could set up a separate private network between the PC and PS3. This could be as simple as a crossover network cable which between the two machines, or more complex with another router that isn't connected to the internet.
All the options except for the first and last will expose your PS3 to the internet. I consider all options safe from banning since no information is passed to Sony in any of the cases and they should have no interest in you if you're not messing with their network. That said, it's up to you to use whichever method you feel safest and most comfortable with.