The Honeygain service is legal to use most countries in the world have not criminalised the use of P2P networks as a proxy network infrastructure.
However, there is one thing you need to know. If a user uses your IP address for a task that is illegal, you might be required to defend yourself since its your IP address that is seen not that fo the actual user. The same applies to any block on the IP address. If a user uses it to spam Facebook and Facebook blocks it, you the real user can also not use it to access Facebook.