[feature request] Run local proxy

[Redo11]

Is your feature request related to a problem? Please describe.
So, sometimes I want to use the VPN on specific apps, like web browser and leave the rest of the system untunneled.

Describe the solution you'd like
My solution would be to run a local proxy, so when an app connects to socks5 proxy on localhost it is tunneled through the VPN.
The proxy would run locally and be bundled into the application, so no changes to the architecture of the VPN are needed.
It would be optional and configurable in the settings.

Describe alternatives you've considered
On Linux, I've tried using network namespaces but they are too complicated to set up and are not user friendly at all.
Other option is to run VPN on a VM, but then there is no way to pass the proxy port to host os.