Monks, I have one other solution. What do you think about it?
I added method new_from_socket() to IO::Socket::Socks module:

sub new_from_socket
{
    my ($class, $sock, %arg) = @_;
    
    bless $sock, $class;
    
    $sock->autoflush(1);
    ${*$sock}{'io_socket_timeout'} = delete $arg{Timeout};
    
    return scalar(%arg) ? $sock->configure(\%arg)
            : $sock;
}
[download]

And overrided connect() function looks like this now:

use Socket;

BEGIN {
    *CORE::GLOBAL::connect = sub(*$) {
        my ($socket, $name) = @_;
    
        return CORE::connect($socket, $name) if (scalar(caller 2) eq '
+IO::Socket::Socks');
        
        my ($port, $host) = sockaddr_in($name);
        $host = inet_ntoa($host);
        
        my $ref = ref($socket);
        
        IO::Socket::Socks->new_from_socket(
            $socket,
            ProxyAddr => 'localhost',
            ProxyPort => 1080,
            SocksVersion => 5,
            ConnectAddr => $host,
            ConnectPort => $port,
            #SocksDebug => 1
        ) or return undef;
        
        bless $socket, $ref if $ref;
            
        return 1;
    }
}

use IO::Socket::Socks;
[download]

First tests shows that it works both with simple sockets and with IO::Socket::INET objects.