One thing nobody mentioned, the built in iOS proxy setting is per wifi network (Settings, Wi-Fi, the i next to the network, Configure Proxy). It only does HTTP/HTTPS, so no SOCKS5, and it does nothing at all when you're on mobile data. Some apps also ignore the system proxy completely, so you can think you're proxied and not be.
If you need SOCKS5 or want it to work on cellular, you'd use an app that sets up a local VPN profile and routes traffic through the proxy. Whichever way you go, check your IP on a what's-my-ip page afterwards, and also look for DNS or WebRTC leaks, since that's where people usually find out it wasn't working.