To protect your privacy:
Either use a VPN (Virtual Private Network), which encrypts the connection (such as the Private Internet Access VPN), or subscribe to Bitport (protection for downloading of specific files only), an off-shore service which performs the P2P on their end, allowing you to simply download the files directly. When downloading from Bitport, connection is encrypted via the SSL protocol.
Your best bet for overall privacy is probably getting the above-mentioned VPN...
For privacy reasons, choose a larger plan on Bitport and keep all of your movies on there, so no files linger on your own PC... :)