I found this post on http://code.google.com/p/android/
Maybe you can try this:
I haven't tried it myself (don't have need for it personally)
i have successfully set proxy using fennec, a browser by Mozilla that is now in alpha. This is the link to the blog where I got the solution:http://gszyszka.blogspot.com/2010/05/how-to-browse-internet-from-behind.html
This is the solution:
So this is how you can configure your Internet:
1. First, download and install Fennec on your device. Go to https://wiki.mozilla.org/Mobile/Platforms/Android#Download
scan QR code or go to http://bit.ly/fennecapk
to download nightly build. The bad news is that it will use a lot of space after installation.
2. Run Fennec, and in address bar type: about:config. This will take you to the advanced configuration panel.
3. Now you need to find proxy entries, to simplify that you can filter it out by typing proxy in the field below address bar.
4. Modify network.proxy.http and network.proxy.http_port to your proxy server and port.
5. You can also modify network.proxy.ssl and network.proxy.ssl to be able to access https addresses.
6. Set network.proxy.type value to 1.
7. That is it, you can now open your favorite webpage.
To make this change permanent you will need to modify prefs.js file which is located in /data/data/org.mozilla.fennec/mozilla/your_profile_id/prefs.js, where your_profile_id in my case is something like gp6trz9b.default. I'm using root explorer to modify this file. The lines you need to add:
Save and exit, restart browser and proxy should work now. The last key: share_proxy_settings should make http proxy a default for other protocols, however this doesn't seem to work for me. That's why ssl kyes are added.
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