A router is the only way with the 1st gen sticks... until someone finds a way to root the latest firmware at least. Depending on what kind of speed you need you can get Xiaomi Mi WiFi 3 router for £20-25 and install Padavan via Prometheus script... got around 13mb/s(openvpn connection) in a speed test.
If you want more speed it will cost a lot more, there's ones for £50-60 that might be able to give you 30mb/s if you know where to look(openwrt have a recommended list on their site), it's a shame that's the best it gets without spending 100s it really doesn't seem like router CPUs are utilized properly via current methods(never seen my dual core pushed past 18% in a speed test).