Macbook Air how to setup proxy for iTunes and App Store?

The Change Settings… button in Safari > Preferences… > Advanced opens the global Proxies sheet. Changes made here affect every app that uses that connection.

Alternatively the sheet can be opened by opening System Preferences.app, selecting Network, then Advanced…, then Proxies.

I am going to recommend two methods to get things working when under any proxy. I am using Mavericks, but I think these methods should work for any other version of OS X too. Go to second method if you don't want to read through the whole answer.

1. Using Advanced Proxy Settings using Locations in Network Preferences.

I personally shift between various networks regularly. Some of these require a proxy, and others don't, and I find the Locations feature very helpful. I created a "College" location specifically for those networks which require a proxy, in which all networks need a proxy authentication.

All these settings can be accessed from System Preferences -> Network.

You can create a new location as per your needs as shown in the above picture.

Once you're done with the location, connect to your favorite network and click on the Advanced settings.

Go to proxy tab, and set your proxy settings as shown in the image. Notice the *college-domain-here.com in the "Bypass proxy" section below: you can specify those domains here, for which you don't need a proxy server to access. Remember to set HTTP, HTTPS, and whatever other proxies you need - all of them. Forgetting any one of those will cause weird problems like websites loading indefinitely and so on.

I have found this method to be very helpful in most occasions, but I've had my share of troubles with this method. For example, App Store and iTunes Store didn't work most of the time, and a really irritating dialogue box popped up randomly asking for my password, which never seemed to work.

So, here is a better method:

2. Using Authoxy

Authoxy is a small software which runs a proxy server in your local machine (laptop) and tunnels all your connections in a beautiful manner via the proxy you specify.

Here is a step-by-step procedure to get it installed and working: http://davidtse916.wordpress.com/2008/03/14/a-step-by-step-guide-to-authoxy/

The good thing is: AppStore and iTunes always work with this method.