Set Android OS proxy to point to Drony:
Go to Android OS Settings->Wifi
Long click on active wifi connection. Menu will appear. Choose Modify network.
On the bottom there is option Advanced settings. Turn it on. Scroll down.
Set proxy to manual, localhost 8020 for Drony
Start Drony and go to SETTINGS tab
Go to Wifi and select network where Drony should be active
Edit script proxy settings. Click on Script to fetch, test, save valid url. Url can be http://, https:// or file:///
Url must be dowloaded, tested and saved. Buttons in action bar.
Change that Proxy type is Script.
Start Drony from HOME tab
You are done. All programs that respect android OS proxy settings will go through Drony.
This will work if you have at least android 3.x