I need to forward all my traffic trough a HTTP/HTTPS proxy in order to connect to a VPN. I can only connect to that VPN using a HTTP/HTTPS proxy.
Is there something free that I can use to achieve this in OS X?
To connect to a Proxy Server (which is what you're trying to do) you need no special Programm just tell your System to send all the Traffic over the Proxy.
You can do this inside of your Mac's System Preferences under Network
If you need more Information on how i suggest you to read the Official Apple Support Document: https://support.apple.com/kb/PH18553