I’'ve been able to workaround the IM Gateway lack of SOCKS proxy support by using the unix socat utility to “socksify” wildfire.
First download and compile (or just install) socat
Then run socat to connect to your proxy and the yahoo server.
./socat -d TCP4-LISTEN:5050,fork SOCKS4A:socks:scs.msg.yahoo.com:5050
This creates a local port on the server which is a tunnel through the normal SOCKS proxy. Then in the Wildfire admin gateway settings browser, change the Options for the Yahoo gateway to the computer running the socat process. In the case of the same server as wildfire, choose localhost or 127.0.0.1 as the yahoo server.
I have not been able to get AIM or MSN to work with this technique, and I’'m not sure why. Has anyone else tried a similar technique to work with AIM or MSN?