Teste isso:
Abra um terminal. Ctrl + Alt + T
Execute:
$ sudo -i
# nano /etc/bash.bashrc
Coloque as seguintes linhas no arquivo:
export http_proxy=http://my_proxy_server:3128/
export https_proxy=https://my_proxy_server:3128/
export ftp_proxy=http://my_proxy_server:3128/
export socks_proxy=socks://my_proxy_server:3128/
Ctrl + O , salve o arquivo. Ctrl + X , perto do nano.
$ sudo -i
# nano /etc/environment
Coloque as seguintes linhas no arquivo
http_proxy=http://my_proxy_server:3128/
https_proxy=https://my_proxy_server:3128/
ftp_proxy=http://my_proxy_server:3128/
socks_proxy=socks://my_proxy_server:3128/
Ctrl + O , salve o arquivo. Ctrl + X , perto do nano.