Depending on what you want to do runnning it via a Proxy is not ideal. A transparent proxy might work ok as long as the packets do not get tampered with.
I am about to reverse the GPS data that gets transferred from the iPhone to the iPad on iOS 4.3.x to get to the the vanilla data the best way to get a clean Network Dump is to use "tcpdump" and/or "pirni" as already suggested.
In this particular case where we want the Tethered data it needs to be as transparent as possible. Obviously you need your phone to be JailBroken for this to work.