I done the proxy setting to run the Symbian_OS_End-To-End_HTTP_API_Example_v1_1 example on the device using CHttpFilterProxyInterface.
comment while compiling for debug and uncomment it when building for release.
void CPiaccessEngine:

oPostL()
{
TUriParser8 uri;
User::LeaveIfError(uri.Parse(iUrl));
// Get request method string for HTTP POST
RStringF method = iHttpSession.StringPool().StringF(HTTP::EGET, RHTTPSession::GetTable());
// Open transaction with previous method and parsed uri. This class will
// receive transaction events in MHFRunL and MHFRunError.
iTransaction = iHttpSession.OpenTransactionL(uri, *this, method);
//Enable the following when build for the mobile to use proxy server
//Uncomment the following when compilig for phone
CHttpFilterProxyInterface::InstallFilterL(iHttpSession);
regards,
vasant.