My recent use of skipfish for benchmarking some proxies left me searching for a way to route skipfish requests through a proxy server. After searching the web for few frantic moments, I understood that there are two approaches to solve this problem.
To recompile skipfish after enabling the proxy feature :-
The second way is to use burp or zap as proxifiers. Follow the article present here.
EDIT :- If you get a pcre.h error then install libpcre3-dev