the source IP for your firewall cannot be changed. Because, if you change this value how the TCP packets from your firewall should be sent to your proxy back. :-)
Many firewall are able to extract the x-forwarded-for header from a HTTP request.
This is actually possible using IP spoofing. This is supported in most all modes MWG is deployed (proxy/transparent router/bridge, etc).
IP spoofing though usually requires that the network accommodate this. I never recommend just turning this on.. google "Asynchronous routing".
With IP spoofing, traffic must take the same path back into the network as it did on the way out (synchronous routing).