While most systems have a system-level dialog to enter in SOCKS proxy information, it's still typically up to the application to obey that setting, and most outside of web browsers don't.

There are some applications out there (e.g., tsocks) that hook the relevant system calls, but I find them quite annoying to use. (You need still something to trigger them, to say "this connection should be proxied") I've also had issues with proxy applications whose system call hooks fail to implement the system call. (E.g., one would return from connect immediately with success, every time, prior to the connection actually being established. When the connection failed to establish, the send/recv call would fail. The application would immediately loop back to re-establishing the connection. This caused an infinite loop, since the first DNS entry it was encountering was never going to work; it would have skipped it when the connect() call failed, but then, the connect call wasn't failing.)