//声明代理
Proxy proxy = new Proxy(Proxy.Type.SOCKS, new InetSocketAddress("代理服务器ip",代理端口));
//代理权限验证
Authenticator.setDefault(new Authenticator() {
    @Override
        protected PasswordAuthentication getPasswordAuthentication() {
        return new PasswordAuthentication("代理服务器用户名", "代理服务器密码".toCharArray());
    }
});
//构建代理socket
Socket socket = new Socket(proxy);
//链接目标服务器
socket.connect(new InetSocketAddress("目标ip", 目标端口));

附：windows 搭建socket代理服务器。使用的是【蓝恒Socket5服务器】http://www.lanheng.net/ProductContent/39/76