Is there free, system-wide http/https proxy software for OS X?
To connect to a Proxy Server (which is what you're trying to do) you need no special Programm just tell your System to send all the Traffic over the Proxy.

You can do this inside of your Mac's System Preferences under Network

If you need more Information on how i suggest you to read the Official Apple Support Document: https://support.apple.com/kb/PH18553