hi,
it seems like some guy requested this feature 5 weeks ago in a language neither you nor i understand.
this would actually be quite useful, in case you have ssh access to some machines, since the common ssh implementations (openssh, putty, ...) have a built-in socks proxy.
a simple script is enough to create the proxies, which enables parallel downloads.
example:
$ ssh -D 1080 -N -T remote_host.domain
creates a proxy server, reachable as localhost:1080.
one additional note:
in options/preferences/connections/additional proxy servers:
currently it is unclear that only http proxies are supported.
thanks.