Please see http://cntlm.sourceforge.net/
This is different than just adding Proxy support for SFTP which would be good also. Something like CNTLM would let you proxy enable any app on the PC by using local port forwarding. CNTLM lets you define local port forwarding tunnels to the corp proxy server for other ports such as 22 or any other port the corp proxy is setup to support.
CNTLM also lets you gateway the port tunnels so users on other PCs can use the forwarded proxy port as well. Similar to how a SSH tunnel can also be set to listen on interfaces other than local host.
There is a huge need for something like this.

Here is an example of a CNTLM proxy tunnel:

Tunnels mapping local port to a machine behind the proxy.

The format is <local_port>:<remote_host>:<remote_port>

Tunnel 11443:sftp.morganstanley.com:22

With this setup any script or app can now simply set the connection to localhost on port 11443 and it gets directed to the corp proxy server defined in the cntlm .ini file.

if gateway is uncommented and set to yes:

Enable to allow access from other computers

Gateway yes

People on a different PC can also use the tunnel mapping by using the host where CNTLM is running and the port defined in the tunnel mapping.

This could be combined with the other idea for Proxy support, but this is very different as it allows any app on the PC to use the proxy even if it does not have built in proxy support.