Anonymous Torrent download - configuring uTorrent

Firstly open uTorrent preferences (Options->Preferences...) and select "Connections".
After which set proxy server type to Socks4; Proxy address to 127.0.0.1 and port to 1080. These are defaults for internal internal socks proxy server of the Proxy Switcher PRO. If you have changed them then set proper port here accordingly.
Then set "use proxy for peer-to-peer connections" and "disable connections unsupported by the proxy". This will effectively allow only outgoing TCP connections. It can affect speed (again depends on the proxy server you pick), but it does work. The problem with this is that it requires HTTP trackers, it does not work with UDP trackers. To use UDP trackers you need to uncheck the "disable connections unsupported by the proxy" box which will expose your real IP to the torrent tracker (but not the peers).

Full SocksV5 servers can provide UDP connections, but problem is that UDP is in fact blocked on a lot of firewalls. Which means that even if servers support it, the UDP in torrent clients will still fail.