You can use the java system properties to set up a proxy or pass it as command line options.
You can find some details and samples here.
Ex: Before opening the connection
System.setProperty("http.proxyHost", "myProxyServer.com");
System.setProperty("http.proxyPort", "80");
Or you can use the default network proxies configured in the sytem
System.setProperty("java.net.useSystemProxies", "true");
Since Java 1.5 you can create a instance of proxy and pass it to the openConnection()
method.
Proxy proxy = new Proxy(Proxy.Type.HTTP, new InetSocketAddress("123.0.0.1", 8080));
URL url = new URL("http://www.yahoo.com");
HttpURLConnection uc = (HttpURLConnection)url.openConnection(proxy);
uc.connect();
Or as lisak suggested, you can use some 3rd party libraries which supports your need better.