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Newer versions of scp (since 2011) have the option -3 which will route the traffic through your local machine. This is useful if the hosts are on different networks and can't see each other. Found this on SuperUser. From your linked article it seems like normally the hosts will try to connect directly to each other.
If your linux/bsd/unix or Mac do not have the -3 option, just compile the last version from: http://www.openssh.org/portable.html
It is as simple as:
./configure; make ; sudo make install
It will be installed on /usr/local/bin by default. I just did that on my Mac OS X Lion.