Networking :: Socket Creation Too Slow Versus URLConnection

I'm trying to write a transparent proxy like polipo. Polipo is written in C and I want to have the same result in java.
 
A simple program that can filter/monitor all connections created and closed by the browser.
 
To do so, I've chosen to work with sockets, because that's the only way i know to read and write raw data to and from the browser in a completely transparent way.
 
In this moment my code reads and writes every couple of request/response but I've noticed profiling it that the time needed to create the socket is a bottleneck.

Using URLConnection to create the same connection I need much less time than sockets.
 
When socket creation implies 50ms URLConnection implies only 1ms.