With the latest cgminer (3.4.1) Windows build, the SOCKS proxy option does not work and is probably broken.
I've setup a local proxy via PuTTY (localhost:9999), and have tried --socks-proxy 127.0.0.1:9999, --socks-proxy localhost:9999, and --socks-proxy socks5://127.0.0.1:9999, to no avail.
I verified that it did not work via Wireshark, which found packets being received and transmitted directly to the pool's IP.
Using (pooler's) cpuminer with the proxy option --proxy socks5://127.0.0.1:9999 works perfectly, with Wireshark not detecting any packets sent to the pool's IP.
Again: Proxies do not work with stratum on cgminer due to me using raw socket code for reliability. You need to use something like proxifier.