I still have no clue what software I could use for a proxy.
I did a little more searching for you and I ran into these links [Hope they help] :

[1] Exposing The Underground : Adventures Of An Open Proxy
[2] GIAC Certified Intrusion Anylyst [GIAC] Practical Assignment Version 3.4 Open Proxy Honeypot
[3] ProxyPot

I've had all both those books for a looong time
Oops my bad...