For apt-get at the command-line
Put the following into your /etc/bash.bashrc file (after putting in the proper servername/IP and port number). Just include the server/port if you have no authentication on your proxy server.
export http_proxy=http://user:[email protected]:port/
export ftp_proxy=http://user:[email protected]:port/
Add these lines, open a new root terminal, and then run your apt-get from the command line.