I need to set up proxy authentication against a SOCKS proxy. I found out this post giving instructions that appear to work with common HTTP proxies.
You can provide a custom socket factory which implements the SOCKS protocol, and register it as your default HTTP protocol handler. This solution has a limitation similar to tuergeist's answer above has - it applies globally, to any HTTP connection you'll establish through HttpClient.
If you find this a problem, take a look at this correspondence, where Oleg suggests using HttpClient 4.0, but also refers to a possible patch in HostConfiguration class for HttpClient 3.x.
Another possible solution, which is my personal favorite, is to write a wrapper HTTP proxy to the socks proxy.