Update proxy docs and warn if python-socks is not installed

As suggested in #4505.

telethon_examples/interactive_telegram_client.py

@@ -114,9 +114,6 @@ class InteractiveTelegramClient(TelegramClient):
         try:
             await self.connect()
         except IOError:
-            # We handle IOError and not ConnectionError because
-            # PySocks' errors do not subclass ConnectionError
-            # (so this will work with and without proxies).
             print('Initial connection failed. Retrying...')
             await self.connect()
 

telethon_examples/print_messages.py

@@ -22,7 +22,7 @@ def get_env(name, message, cast=str):
 session = os.environ.get('TG_SESSION', 'printer')
 api_id = get_env('TG_API_ID', 'Enter your API ID: ', int)
 api_hash = get_env('TG_API_HASH', 'Enter your API hash: ')
-proxy = None  # https://github.com/Anorov/PySocks
+proxy = None  # https://github.com/romis2012/python-socks
 
 # Create and start the client so we can make requests (we don't here)
 client = TelegramClient(session, api_id, api_hash, proxy=proxy).start()

telethon_examples/print_updates.py

@@ -27,7 +27,7 @@ def get_env(name, message, cast=str):
 session = os.environ.get('TG_SESSION', 'printer')
 api_id = get_env('TG_API_ID', 'Enter your API ID: ', int)
 api_hash = get_env('TG_API_HASH', 'Enter your API hash: ')
-proxy = None  # https://github.com/Anorov/PySocks
+proxy = None  # https://github.com/romis2012/python-socks
 
 
 # This is our update handler. It is called when a new update arrives.