Most good proxies support the CONNECT method so you can just fire up your sshd and use some program that can use the proxy to connect outside. ssh can use the ProxyCommand option to set a program that will connect through the proxy. You can write your own perl program that will act as a relay or you could find one on the search engines. Alternatively if you use windows on the client side you can use putty, a nice ssh terminal that has beautiful support for different kinds of proxies. I've used it and it works very nice. Some proxies do not allow to CONNECT to any port other than 80 or 443 so you would have to start sshd on one of these ports.