I originally made my own app: compiled an OSS SOCKS proxy with a simple iOS wrapper, deployed with a free developer account. Later, I switched to using Pythonista (paid app available on the App Store) to run a SOCKS proxy written in Python. I should add - Pythonista is a pretty amazing app, given that it’s a proper App Store app that lets you write your own Python programs with full access to iOS APIs (including the ability to dlopen private frameworks via ctypes...).

The iOS app I “wrote” is up on GitHub: https://github.com/nneonneo/socks5-ios. It’s really barebones; I knocked it together in less than an hour since I rather desperately wanted a good internet connection at the time :)