TsgcWebSocket client support connections through proxies, to configure a proxy connection, just fill the Proxy properties of TsgcWebSocket client.
Client = new TsgcWebSocketClient();
Client->Proxy->Enabled = true;
Client->Proxy->Username = "user";
Client->Proxy->Password = "secret";
Client->Proxy->Host = "80.55.44.12";
Client->Proxy->Port = 8080;
Client->Active = true;