How can I force the traffic of a shared internet connection through a proxy?
I personally use OpenVPN because it comes pre-configured with everything. It even has its own VPN app which does a great job.

Or you can set up PPTP VPN on your server, which does the same thing only you can set VPN settings in the Actual Settings.app

My server is in Amsterdam, but while I am connected it doesn't actually change your location, only where your connection comes out. It also encrypts it in the process, so if you are on public wifi, nobody can snoop on your packets.

Edit

Try Creating a VPN tunnel on your mac and share the internet to your iPad.