Configure Software Update to use a SOCKS5 proxy
Unlike Firefox, most OS X apps don't have their own proxy settings but instead respect the system-wide configuration in the Network preference pane. This is particularly true of the bundled apps like Software Update and Safari.

To do that, just open the Network pane in System Preferences, select the connection you want to configure on the left (e.g. Wi-Fi), then click Advanced... on the lower-right:



Now, click the Proxies tab. Check the "SOCKS Proxy" checkbox, and then enter the address, port, and authentication info for your proxy.



Finally, click OK to exit the Advanced modal, then click Apply.

These screenshots are from 10.8 (Mountain Lion), but it's almost the same on older versions of OS X. Which reminds me, what version of Mac OS X are you using? A Google search turned up a couple posts about Software Update not working with authenticated proxies in 10.4 and/or 10.6.