This is apparently a pretty common thing to do but I was unaware. It’s pretty simple once you know about it and I’m just blogging about it to remember:
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# SSH into the machine with the -A argument:
$ ssh -A user@host -p 314
# Once on the machine if you need to use sudo
# use the -E argument to save the environment:
$ sudo -E su
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Some concerns are that a clever person on the machine can use your credentials to do nefarious things.
This is useful for allowing you to use your ssh-keys (such as github, or SSHing into other machines using a key) from your local machine on remote machines.
You will need to ensure that your ssh config ~/.ssh/config contains (I put mine at the top) ForwardAgent yes for this to work.
Cheers