This is still raw and experimental.
To connect through a SOCKS proxy, set ZMQ_SOCKS_PROXY socket option on
socket before issuing a connect call, e.g.:

    zmq_setsockopt (s, ZMQ_SOCKS_PROXY,
        "127.0.0.1:22222", strlen ("127.0.0.1:22222"));
    zmq_connect (s, "tcp://127.0.0.1:5555");

Known limitations:
- only SOCKS version 5 supported
- authentication not supported
- new option is still undocumented