Due to the way the Primary clients authenticate themselves to each other there may well be a problem with using this method with WinMX operating as a Primary however it really does depend on what type of service you choose as some vary in methodology of operation and may well indeed be able to operate in both modes.
There are some settings for using winmx with a proxy in the winmx Settings dialogue (outgoing TCP connections ) and I would start with making any changes their if you want to try the method out, I remember another user of the forum finding success using a VPN program but it was some time ago and locating the post seems a bit beyond me atm.
For reasons of limiting any potential legal liability MXMonitor I would like to take this opportunity to inform you that we at WMW do not encourage or aid in the transfer of copyrighted files in anyway, we do however encourage users to share their own produced files, freeware, shareware, and other non copyrighted or creative commons materials on the WPN, I would also like to point out we have no control over any activities WinMX users undertake as the network is "decentralised" and thus no one here has any control over such activity, however as your post related to limiting your potential liability to copyright infringement liability I,m obliged to draw all the above points to your attention.
Good luck with your experiments MX