If you are using the Live CD, Apt is not set to use your proxy, you may be able to configure apt on the live CD to use the proxy. If you want to make this more permanent you could use a custom live CD or set your network to use the proxy by default for all connections.
personally I just use squid and cache all .deb files for about a month
from ubuntu help
Updating clients to use your proxy server
apt clients need the /etc/apt/sources.list file to be reconfigured to point to the new apt-proxy server instead of the outside world. Configuration of the sources.list file looks similar to the config for normal apt repositories with the exception that the backend section has to be appended to the path:
example of changes
deb http://apt-proxy:port/backend dist component
Replace mentions of specific repository URL with references to your server and the backend for it; such as:
deb http://archive.ubuntu.com/ubuntu dapper main restricted
deb http://security.ubuntu.com/ubuntu dapper-security main restricted universe
would become
deb http://server:9999/ubuntu dapper main restricted
deb http://server:9999/ubuntu-security dapper-security main restricted universe
A sources.list corresponding to the apt-proxy-v2.conf above may look like this:
apt-proxy entries for standard modules
deb http://localhost:9999/ubuntu dapper main restricted universe multiverse
deb-src http://localhost:9999/ubuntu dapper main restricted universe multiverse
apt-proxy entries for security patches
deb http://localhost:9999/ubuntu-security dapper-security main restricted universe multiverse
deb-src http://localhost:9999/ubuntu-security dapper-security main restricted universe multiverse