This is a more general answer along with apt config.
As there a lot of places to configure proxy settings, it might get confusing at beginning. Let me summarize some things and suggest some good practices.
For console programs
Ex: wget, git and almost every console application which connects to internet.
If you want to configure proxy every time you run your commands for some reason then set the environment variables using following commands.
Else if you want to use the same settings everytime for all users, then use of these.
Configure in bashrc
$ nano /etc/bash.bashrc
$ nano /etc/environment
Configure using GUI
Open the network settings and set the your system wide network proxy.
Network -> Network proxy -> Configure -> Apply system wide.
But this might not be useful if you have authentication for the proxy.
You need to do some extra work for apt, as incidentally apt doesn't obey environment variables,
$ nano /etc/apt/apt.conf
For everything out of this scope, there must be an option to configure proxy settings in the application itself. If not I'm sorry ;)