You can try to connect manually, but to connect manually, you must have all the information about the proxy. Moreover, knowing how to connect is important because there is a certain sequence of actions. I recommend you watch the youtube video tutorial about it. I have never manually connected to a proxy server, as it is usually automated. I work online and need to collect a lot of data to do my job. I use https://soax.com/online-facebook-messenger-proxy to make it easier. It is a very useful tool that makes it easy to collect data.