It's said its handled automatically, however from my experience this isn't the whole story, and to save someone else a headache this should be remedied in the docs.

Just some background I had a connect middleware for no-www, and options..

var options = {
    hostnameOnly: true,
    router: {
        'api.[snip]': '127.0.0.1:3001',
        '[snip]': '127.0.0.1:3000'
    }
};

var server = httpProxy.createServer(
    nowww(false),
    options
);

server.listen(80, function() {
  console.log('proxy up');
});

The websockets connections aren't made automatically because I was using middleware, so you need to add..

server.on('upgrade', function(req, socket, head) {
    server.proxy.proxyWebSocketRequest(req, socket, head);
});

This should just be documented somewhere is all. It would have saved me the hour of "hmm, why is this falling back to xhr-polling?" time and source-reading lines to see the "magic"

if (!callback) {
  proxy.proxyWebSocketRequest(req, socket, head);
}

But, more than willing to give up that hour for the total amount of time you've saved me 👍