Using privoxy seems an easy solution.

I've also recompiled http://packages.debian.org/lenny/tsocks on the n800. It took me around 3mn to recompile and package but I have no way to check if it works (haven't even tried installing it actually but I don't see why it wouldn't). I can put it on a webserver if somebody is interested.
Wget would be the easiest to try as it can be launched from cli.

LD_PRELOAD=/lib/libtsocks.so.1.8 wget http://www.google.com
This should transparently redirect all socket operations to the libtsocks that would socksifies wget.