How can I change the proxy settings of the official GUI / CLI ?
This is down to whatever proxy program you're using.
If you want to proxy through Tor, then use torsocks as described in the README.md file, eg:
DNS_PUBLIC=tcp torsocks ./monerod --p2p-bind-ip 127.0.0.1 --no-igd --rpc-bind-ip 127.0.0.1 --data-dir /home/amnesia/Persistent/your/directory/to/the/blockchain
If you want to proxy using another method, such as proxychains, look at the proxychains docs (http://proxychains.sourceforge.net/howto.html).
Note that you will usually want to run the daemon through a proxy, then use th wallet to connect locally to your dameon, so without a proxy.