How to write your own proxy?

Question

proxy

I suddenly realized that in order to understand what a proxy is, it would be nice to write it yourself.
Ahem.
But this is difficult to do, because I know almost nothing about them.
To read this with a bias in "what's inside her"?
With a bias "why is it" I have already completely googled, but this is not enough :(
(It is interesting about socks and about http).