Depending on the nature of your data, there are two ways, easy and hard. I interpret your question that way, that you want to have a proxy that sits in the middle between your program and the outside network.

The easy way is if you only want to intercept HTTP data. Then you can use HTTP::Proxy.

The hard way is if you want to intercept other data. Then you have to use Net::PCap together with Net::PCapUtils, which allows you to sniff and alter any TCP transmission. There are some other more convenient modules, like Net::Divert and Net::ProxyMod (by Stephanie Wehner), but these module are for BSD(-like) systems only, as they use features only found there.