How to Stay Anonymous in Metasploit?

Hey,

I know that I can type:

set proxy socks5 127.0.0.1:9050

to make msfconsole go through tor, but then I can't use TCP connect-back payloads like the shellshock Pure-ftpd exploit because it can't be run through proxies.

How can I stay anonymous when using connect-back payloads?