There are many ways to do this, some of which are beyond the scope of a friendly forum like this. I would suggest maybe looking into using proxy chains and chaining mass number of proxies together and try and use thoose applications like this:
proxychains nmap arguments host
But good luck finding proxies that support CONNECT method.
For most basic apps you may be able to set up a transparent proxying for daily task. Me personally, it depends on the site/sites I visit. Every time you fire up that browser your opening yourself to the outside world and trusting the other party on the other end. And then sometimes as 320mb said if your not doing anything naughty then just skate through it. You will be suprised how much time you will end up wasting trying to be anonymous when there really is no true remedy to that.
Big Sister is always watching. She created the net, why would it let you walk in her shadows? So share yourself with me and everyone else because that's the way it should be pal.