Yes, the default setup really goes out of its way to defeat any standard caching proxies and make the mirrors do extra work, although once you accumulate the copies from 5 or 6 sources everything will work like you expect. That used to bother me but now the mirrors seem to be insanely fast so if your own connection is good it just doesn't matter.
Part of my problem is that my own connection is absolutely terrible.
Anyway, I'll figure something out. What I'll probably end up doing is taking my laptop home and rsycing a mirror to it, then taking it back into work and shooting that over to my server.
Though just for giggles I'm going to try to get central IT to unblock rsync for me :-)