How to use SquidMan and force apps to go through it?
Simply add your proxy settings to the network card that you use. 

System Preferences => Network => Unlock the session for administrative changes from the little lock button on the bottom left side => Select the active network card => Advanced... => Proxies => and enter your proxy credentials in the "Web Proxy (HTTP)" and "Secure Web Proxy (HTTPS)" sections. 

This will make your whole system go thru that proxy and if you would like to use different proxy (or may be your IP address) while browsing, you may install an additional plugin on your browser (I suggest FoxyProxy for Mozilla Firefox).