According to http://www.w3.org/Protocols/rfc2616/rfc2616-sec9.html CONNECT is/was a reserved method, are you sure it was ever actually implemented? Are you sure the proxies you're using accept it?
Also note you specified HTTP 1.0 you may need to specify 1.1.
Also according to http://www.web-cache.com/Writings/In...nneling-01.txt after your connect you should get a 200 back stating the connection was established.
http://en.wikipedia.org/wiki/Tunneling_protocol seems to suggest you should be issuing the CONNECT to the proxy, getting a connection and then issuing a GET to your computer:443. Though it also notes that many proxies restrict access to the CONNECT method. (I suggest doing a OPTIONS request to the proxy server to see if it supports CONNECT).
Edit: Ok so I kept reading more and more while I was posting so take it all with a grain of salt.