You can use this JCL (after modifying it to suit your requirements) to run the SOCKS Proxy:

//USERSSP  JOB ,,CLASS=A,MSGCLASS=X,MSGLEVEL=(1,1),
//             NOTIFY=&SYSUID
//*
//* Tectia SOCKS Proxy using catalogued proc
//*
//SOXPROX EXEC PROC=SSHSP
//* Override sshenv, for example
//STDENV   DD  DSN=<HLQ>.V650.PARMLIB(SSHENV),DISP=SHR
//