Minimize on close behavior made optional.
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 .