How to create a network connection bridge to an existing one?

I’m connecting my MacBook Pro to a wireless router to get to the Internet. Since I have to use proxy for some applications and it’s troublesome to switch to HTTP, HTTPS and SOCKS proxies with a series of mouse clicks, I’d like to create a new network connection which shares the existing Wi-Fi connection with the settings for proxies always on to make the switch easier.

I tried to do that in System Preference/Networks but failed to make it work. Anyone can help me with some hints, please?

submitted by /u/everwisher
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