Set Drony to connect to other proxy:

Start Drony and go to SETTINGS tab

Go to Wifi and select network where Drony should be active

Enter hostname or tcp/ip (numbers with dots e.g: 192.168.1.10) , port,
username, password of the proxy where Drony should connect.
Change that Proxy type is Manual.

Start Drony from HOME tab

You are done.

All programs that respect Android OS proxy settings will go through Drony.

This will work if you have at least Android OS 3.x