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I'll try and target each area for you from my knowledge.
Transferring items - basically get whatever items to the shell of your choice. You can either trade, gift, auction or shop-snipe. Personally I prefer shop-sniping my items because, from TNT's perspective, the seller has no way of controlling who buys the item once it's in the shop. It's never really safe to say the items are 100% secure as TNT will find any bullshit reason to ice you, and it could be a week, month or 6 months after you've got these items. They'll use any excuse they can, so always be careful. I'd say 5 months is a good time to wait, you could wait less but after 5 months I'd be more comfortable that I'm unlikely to get iced.
One thing you gotta be careful with is that people do use Shop Wiz snipers, so obviously if you're gonna be transferring wanted items like codestones, map pieces, Nerks etc then you may lose them.
Transferring pets - there are only really two ways to do this - pound or transfer. You can fake a pet giveaway on the PC chat and then select yourself, but you may wanna like.. build the shells up a bit for this (a few avs, stamps, cards etc - make it look like a legit account/giveaway). You could say you're friends, and make up a bit of conversation between the accounts before you transfer? Or, once you level up, you could put your trust in a Pound Sniper (I know Infamous Joe has made a fantastic one, works like a charm) and pound the pet and have the Sniper get it for you. Personally I've never been iced for sniping painted pets from the Pound using any sniping program I've used, but there is always that risk.
Proxies - I've already told you my thoughts on that, I think that's a good idea. Make a note of the country, and then only select proxies from that country. Looks less suspicious than logging in from the USA and then China a few hours later or whatever. You could put a note on your UL saying you travel a lot due to work or something, this may help keep you above suspicion - I'm sure I've heard people suggest this, although whether it is effective or TNT even take it into consideration is doubtful.
VPN - I know FoxyProxy do their own VPN for about $8 a month I think. Also, I think HideMyAss do a VPN service too. A friend of mine has FoxyProxy VPN (as far as I know) and he said that you're able to select proxies not only based on the country, but also state/town. So if you chose, idk, Michigan, you can find proxies from there and it looks even less suspicious as you may be accessing from a library, a friends/family members house, a WiFi hotspot or something.
Afterwards - self-icing seems to be the preferred method because then TNT are supposedly less able to track the movement of the items in question. Now I'm not sure if this is the truth, but I always self-ice the shells after they're finished with anyway, just to be on the safe side.
Hope this helps!
EDIT: One last note, RSing with AutoHagglers is risky. I got iced on my main, and it was completely legit except for the use of an AHer. Be careful, don't RS too much with one and not always in the most obvious shops (Magic, Stamp etc).