If you are looking to do this from the command line without setting a special config, try this:

ssh -o "ProxyCommand /usr/bin/nc -X 5 -x localhost:2500 %h %p" user@myhost.com

That worked for me (using localhost:2500 as my SOCKS5 proxy)...

Thanks for this page and the other comments, which helped me arrive at this solution...!

Now I'm going to go make a shell function...