The normal way to use Android SDK is Eclipse platform.
But it has some limitations, particulary it doesn't have the feature to configure your proxy settings.
Under Windows the problem could be solved by running Android SDK Manager outside Eclipse via lanching executable called "Setup.exe" in the SDK directory. The suprise for linux users is that they don't have such a tool and hence can't configure proxy via cute UI interface.
But it can be configured in true unix way by placing the following lines in ~/.android/androidtool.cfg file:
Of course you should use your IP/Port.
Also the Internet says :) that any other java options could be set up here, for instance, http.proxyUser or http.proxyPass (search for Java networking properties).