I haven't used socks other than indirectly, but still.. it looks like it might be possible to do with the help of the 'privoxy' proxy and an external socks proxy. However, it'll have to be socks4a then I believe.

So, what you would have to do to try this is:
1) Install privoxy on the N800
2) Edit its /etc/privoxy/config file to have the following:
where 'nnnn' is the port number (e.g. 9050). Note the space and the dot ('.') at the end of the line.
3) Make sure that's the only non-commented 'forward' line in the config file.
4) Set up a network configuration on the N800 which uses proxy, set it to 127.0.0.1 and 8118 (which is privoxy running locally on the N800)
5) In principle the N800 privoxy proxy should now forward through your external socks4a-compatible proxy.
6) Note that I've never used socks proxies other than indirectly, and that was through privoxy like described above.. I don't actually know how it's supposed to work from there, so the assumptions I'm making above that you could/would go through an external socks proxy/server may be rubbish for all I know..