Somewhat unexpectedly, things changed for the better since last time. RouterOS 6.47 (currently in beta) has SOCKS5, and not just the simplest CONNECT command for outgoing connections. It also handles incoming connections with BIND command (I'm not sure if correctly, it doesn't seem to return bind address), and even UDP association may be there (it responds with success code when requested, but I don't think I have anything to test it properly).
People who quote full posts should be spanked with ethernet cable. Some exceptions for multi-topic threads may apply. Not intended as incentive for masochists.