advantages: you can connect at all in situations when you wouldn't otherwise be able to
end of advantages
disadvantages:
you have to know where there's a working socks 4 or 5 proxy to begin with
proxies listed on websites even when SOCKS is specified tend to be too slow / overloaded to be any use
using a SOCKS proxy breaks fake filtering
upload/download speeds tend to be worse even than dialup
chat tends to lag like hell
you have extra configuration to do
if you're determined to give it a go, then basically it's just a matter of filling in the details in settings hitting connect & waiting possibly several minutes for a green light (assumes the proxy is working) .. then trying again multiple times.. because most listed proxies on websites don't actually work