I followed the steps from this tutorial and it worked without a glitch. The only change I did is instead of using 'connect.c' file provided I used standard 'nc' for basic proxy support. So my 'socks-gw' file looks like following:
#!/bin/sh # File ~/bin/socks-gw # Connect a SOCKS 5 proxy using 'nc' nc -X 5 -x proxy.server:1080 $@