Anonymous gets arrested because people know them, and the report them. And get actual logs.

Also you are traced by your IP address due to the backbone servers your packets go over.

9 if-5-0.core1.jsd-jeddah.as6453.net (195.219.153.65) 131.312 ms 315.532 ms 372.817 ms
10 195.219.167.42 (195.219.167.42) 327.044 ms 429.189 ms 777.267 ms
11 if-0-0-0-0.tcore1.pye-paris.as6453.net (80.231.154.37) 591.884 ms 598.765 ms 503.932 ms
12 if-6-10.tcore1.nyy-newyork.as6453.net (216.6.90.9) 688.233 ms 556.615 ms 419.007 ms
13 jfk-brdr-04.inet.qwest.net (63.146.27.41) 490.250 ms 721.368 ms 1050.035 ms
14 ewr-core-01.inet.qwest.net (67.14.7.34) 607.383 ms 1179.560 ms 1483.734 ms
15 ewr-cntr-11.inet.qwest.net (205.171.17.2) 1039.990 ms 262.681 ms 420.204
If you look there im making a jump from paris to NYC in a little under 100 ms. Whats happening here is IANA (The group of people who say who gets what IP address) has given specific areas for the location. And so, generally they know where your IP address it. If you traceroute to a host, you can see what routers you hop across, and see the path you take. Also getting a proxy for general computer use, is useless. It's just easier to browse on your IP address, if you are really that scared. Go down to the town library or local unsecure wireless spot. Though change the mac address. Its hardware specific. And one of a kind (sort of.)