I connect to a machine A that is only connectable if i before connect to machine B and make an ssh tunnel. With this tunnel i can use WinSCP to transfer files to machine A.
I use putty or plink to make the tunnel (see https://winscp.net/forum/viewtopic.php?t=508). The problem is that this solution is not very comfortable :(.
I think it would be a great feature to add such a tunnel configuration in the proxy configuration settings to automate such things. Another possiblity is to add a functionality to execute a external program (e.g. plink) before connect.