Which software is used to setup connection to socks5 proxy from Ubuntu server?
Besides firefox socks5-client setup (which is what I use most in combination with ssh) I know of dante-client
This package provides the "socksify" client program - a tool which forwards network requests from any program to a SOCKS server (v4 or v5) which then performs them on your behalf.
Is that what you are looking for?
It's a little out of date, but it should give you an idea about what needs to be done.
Try the ubuntu configuration first and see if other utilities are able to derive those settings. If not, configure them separately.