ProxyDroid is an app that can help you to set the proxy (http / socks4 / socks5) on your android devices.
Help to translate ProxyDroid: http://crowdin.net/project/proxydroid/invite
PLEASE ROOT YOUR DEVICES FIRST
TIPS: Press MENU button to find a "Recover" option that would help you to recover / reset the proxy settings when you get something wrong.
** FEATURES **
1. Support HTTP / HTTPS / SOCKS4 / SOCKS5 proxy
2. Support basic / NTLM / NTLMv2 authentication methods
3. Individual proxy for only one or several apps
4. Multiple profiles support
5. Bind configuration to WIFI's SSID / Mobile Network (2G / 3G)
6. Widgets for quickly switching on/off proxy
7. Low battery and memory consumption (written in C and compiled as native binary)
8. Bypass custom IP address
9. DNS proxy for guys behind the firewall that disallows to resolve external addresses
10. PAC file support (only basic support, thanks to Rhino)