Show downloads denied with 'too many files' or 'too many megabytes' as queued and automatically requeue them every so often.
See the Changelog for list of features and fixes currently only available in the nightly builds.
I actually use Nicotine, which has the same problem. If you are under GNU/linux, you can try to install Tor (through the official deposits, do not only download the Tor Bundle in a zip file) and run in a terminal "torify nicotine".
I worked for me, but you should be aware that it might not be flawless anonymity : first, you're using your soulseek username, so Tor will transmit >anonymously< your username, which might be used to trace the things you do back to you. Second, I'm not an expert with Tor, so I can't guarantee you there are no issues that I don't know of. Just be careful and stay legal, whatever the reasons you need a proxy are :).
I'm under Debian (squeeze), but for Ubuntu, the documentation page is the same : https://www.torproject.org/docs/debian .