For what I can see there is no socks support built in in wine and also if u try to force socks tunneling through tsocks the windows program are not "socksifed". You can run freecap inside wine and then run through freecap the socksified program and this way it works, but I think it will be a nice to have feature to be able to run through socks. I've already implemented socks support on a pair of projects (one is ggmud.sourceforge.net), and I'd like to try to add it to wine, but only if there is not already an effort in that direction :)
