You can easily use A4Proxy with other local proxy programs, like AdSubtract, Webwasher, Proxomitron, Junkbuster etc. The idea is to form a “chain”, where your browser first connects to that other local proxy server, and then that program connects to A4Proxy. From the point of view of A4Proxy, there will be no difference, it won’t even “know” that there is another program between it and the web browser.
See the examples for Webwasher and Proxomitron, and configure your programs in the same way.