If I have access to a SOCKS proxy, is there any way to make this proxy appear as an interface or gateway on my opnsense router, so that I can create rules to direct traffic to it?
SOCKS proxy is Layer 5(application), you need a Layer 3 tunnel that uses SOCKS protocol to route all traffic.
OPNsense does not have such tunnel.
There are some SOCKS tunnel programs able to create tun interface (eg: tun2sock, ss-redir etc) that you might be able to install and run, but you won't be able to use OPNsense to manage.
Unless you are willing to do everything manually, I'd suggest to forget about it.
Edit: I just checked os-shadowsocks plugin, sadly it only has ss-local and ss-server, no ss-redir.
Thanks for your help.