OK, I got it. I expect after doing all of this, I don't need to waste my time for each client and everything done by itself. Rather, I noticed It's useless for IPhone, because it's just apply on HTTP Protocol, which doesn't meet what I want(It not be able to handle my apps). also for android, it doesn't support more than HTTP PROXY by default.
The diffrence between IPhone and Android actually is, in IPhone you can just set HTTP PROXY to auto and leave the URL field(IOS will find it by itself), but in Android you have to go forward and set the exact location to the
wpad.dat file. I think I have to install 3rd proxy apps for mobile phone.
Update: In windows, when I get back to LAN settings and check the
automatically detect settings, which I was Unchecked this before, the OS now be able to get configuration automatically, also it supports socks 5, so I have no problem with my programs. That's awesome! Thanks to you guys @eduperez @trendy