While SOCKS servers are generally used to provide firewall protection to an enterprise, a SOCKS server can also be used to provide a generic way to proxy any TCP/IP or UDP protocols.
By default, the ProxySG includes a pre-defined service for SOCKS that listens on port 1080, but the service is set to Bypass.

To use the SOCKS proxy, you need to set this service to Intercept.

To configure the SOCKS proxy to intercept traffic:

   1. From the Management Console, select Configuration > Services > Proxy Services

   2. Change the SOCKS service to Intercept
              a) Scroll the list of service groups, click Standard, and select SOCKS.
              b) If the Action for the default service (port 1080) is set to Bypass, select Intercept from the drop-down list.
   3. Click Apply.

To modify SOCKS proxy settings:
      1. Select Configuration > Proxy Settings > SOCKS Proxy.
      2. The displayed defaults should be sufficient for most purposes.

Refer to article 165608 to chain SOCKS proxies.