In fact, he wrote the tutorial a while back, but (ahem) he only just told us about it, so here's the link-of-interest.
From Lars's article:
VPN on a smartphone
So why should you use VPN on a smartphone? Well, for the same reason you use (or should use) VPN on a computer: Security. If you connect your smartphone to the Internet on a public Wi-Fi like at a coffee shop, you should use VPN. Most public Wi-Fi’s are far from secure.
VPN on Windows Phone 8.1
Microsoft finally added the possibility to use VPN on a Windows Phone with the 8.1 update. But until recently, it hasn’t been easy (almost impossible?) to get VPN to work with other VPN-systems than workplace related solutions and some VPN apps (as described here over at Microsoft Lumia Conversations). So out of reach for most Windows Phone users. Until now!
Some weeks ago I tried to set up VPN access on my Nokia Lumia 1020 (WP 8.1 DP) via the popular VPN provider Private Internet Access (note: I’m not affiliated with them, and have no connection to them besides using their solution). Windows Phone is not listed there under the setup guides, and in the PIA forum there are questions (but no answers as far as I can see) on how to get it to work. And I was not able to get it to work. Then, some days ago, I tried again, and it worked! I don’t know why, probably either Microsoft or PIA has done some changes somewhere.
Well, here is how I did it:
Lars then goes on to detail the exact settings he used, so it's well worth clicking through.
Although using a VPN to go online (e.g. for email or web browsing) seems like a good thing - and it is for the highly security-conscious, do note that there are some performance overheads, partly in the encryption through the VPN, but also to do with the 'tunnelling' itself through the various servers. Plus there's (as seen above) hassle and expense in setting it all up.
For most general Windows Phone users, there's already security in place via https:/SSL protocols for email and any web browsing which involves accounts, logins, etc. Even using public wi-fi, your traffic is still perfectly secure to a potential snooper. Of course, a snooper might still be able to track which sites you went to, but then they could equally well do this by looking over your shoulder from a distance in the (e.g.) coffee shop.
In short, don't worry too much about needing VPN - if you need it, you'll already know you need it!