This function does an asynchronous socket connect in the ClientSocket. The Open Method is XmppClientConnection is doing much more than only opening a socket.
Which kind of Proxy support do you need? SOCKS or HTTP? If you need HTTP Proxy then you should take a look a HTTP-Polling which is already supported by the SDK. Because persistant connections and HTTP tunneling is not supported by all HTTP proxies.
If you want HTTP Proxy then i would suggest you to use a server which support HTTP Polling (eg. eJabberd).
The problem is that most HTTP proxies don't allow persistant TCP/IP connections (CONNECT Method in HTTP). With http polling you don't have that problem because you poll the server in intervals. The library supports HTTP Polling also with HTTP Proxy.
if you don't want to use Http Polling or you don't have a server which support it then you have to add HTTP proxy support on your own, because it's not implemented yet. I have no idea if Proxy support is on our Roadmap, i have to talk to Alex about that.
We can also implement it for you on a customer base. For that contact us directly by email.