I eventually found the answer on my own.
Keep your current Privoxy config file as is. If you're running Privoxy on the same machine as you browse, there's no need to amend the default listen-address section. Also, there's no need to play with forward-socks.
To turn on the VPN, you need Rayner Software's NetShade. Choose, for example, the nl1.netshade.net VPN Server. That's it! Do NOT play with the Proxy Server section of NetShade so long you wish to control that section through Privoxy config file only.
NetShade Proxy Section can be translated into the following in Privoxy config:
# Begin “forward” Section
#
# forward / nl1.netshade.net:350
# forward / de1.netshade.net:350
# forward / cz2.netshade.net:350
# forward / uk4.netshade.net:350
# forward / uk3.netshade.net:350
# forward / ca1.netshade.net:350
# forward / us6.netshade.net:350
# forward / us4.netshade.net:350
forward :443
forward localhost
#
# End of “forward” Section
Typically, if you choose, for example, nl1.netshade.net as VPN in NetShade, you will comment out this line: forward / nl1.netshade.net:350
However, while keeping the above VPN choice as is in NetShade, you can also choose another proxy by commenting out, for example, forward / ca1.netshade.net:350 in the above configuration. If you do it, NetShade will pop up dialog box telling you there's a discrepancy between IPs (the proxy you choose and the VPN); you can disregard it! Your connexion is still secured via VPN, even if you choose the additional layer of security by choosing another proxy.