Check out Proxifier. It's what I used to use when I really wanted to wanted to beat that network traffic into submission.
Apple's "Proxy" settings (at least not then) didn't capture a LOT of whatever traffic I was trying to corral at the time.. (I don't really remember why I was so into this program, but I actually bought it, back in the day, so you can bet there wasn't a better alternative at the time...)
According to them...
With Proxifier you can work with any Internet client (browsers, FTP, IRC, BitTorrent, messengers, telnet, SSH, video/audio, games...) through a network that is separated from Internet by a firewall (only one open port is required for a proxy tunnel to bypass firewall).
Aka, not just Safari, etc...
Also worth checking out... Charles Debugging Proxy. It's a great tool for all sorts of stuff.... Not just hiding from the government on Tor, lol.. ;-)