That all depends on what sort of monitoring they have in place. If they told you that you can’t use it for personal use then I wouldn’t. Playing XBox really isn’t worth your job now is it.
If your work connection is permenantly connected to work all of your internet access will be through whatever monitoring and filtering systems they have in place. If they have any form of Network Access control software then it may even not allow non domain members to get an IP address. It really does depend on how well they have things locked down. As the other answer states If they told you not to then I wouldn’t bother just be patient or if possible why not just get a Mobile phone internet access dongle for your machine.