It can get interesting to test the security of thick client applications. If you start debugging you could end up losing a lot of time with not too many results. Of course, time is always at a premium when you pen testing in a week long gig. There are a couple of tools that can really help you to gain insight into a thick client (i.e., an application written in a binary format such as an executable, ActiveX control, flash object, etc.) and communicating to a server using the client/server model.
The need for a proxy to hook into the communications is a prime need and EchoMirage can do a great job of hooking into function calls related to win32 sockets, openssl functions. You have to select an active process for Echomirage to inject into or you can even spawn a process from the menu options in EchoMirage itself. It’s a great tool with a built-in editor so you can edit the traffic. However, sometimes you have to be careful because it’s binary data that you are editing so while editing it is easy to mess up a few flags, etc.
Another great tool is actually a plugin for OllyDbg called UHooker that can let you specify which functions you want to place a hook into. You have to configure a binary editor of your choosing and the functions to be hooked into in a .cfg file. The documentation for Uhooker is located here.