Admittedly, not terribly user friendly. Adding the code to use proxies in Java is easy, it's mainly a matter of user interface and savings the settings. Proxy support will probably be added when we add a connection manager.
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Java supports proxies at the network stack level, so you can already use THUD with proxies. See http://java.sun.com/j2se/1.5.0/docs/guide/net/properties.html, in the section about SOCKS.
Admittedly, not terribly user friendly. Adding the code to use proxies in Java is easy, it's mainly a matter of user interface and savings the settings. Proxy support will probably be added when we add a connection manager.