Hi Will,
As long as you're not using HTTPS, there shouldn't be any difference between proxying traffic through an HTTP proxy like LittleProxy and simply making a request to it. Either way, your client opens a TCP connection to LittleProxy and then starts sending it HTTP traffic.
You'll still need to create a filter as I described to rewrite the host header. By rewriting it in the requestPre method, you'll cause LittleProxy to see the rewritten host header which will get it to connect to that server.