As you are using python binding, you need to use the remote object to set the proxy.
the other way is to change the python binding code itself.
Following code will change the proxy
from selenium import webdriver
PROXY = "localhost:8080"
# Create a copy of desired capabilities object.
desired_capabilities = webdriver.DesiredCapabilities.INTERNETEXPLORER.copy()
# Change the proxy properties of that copy.
desired_capabilities['proxy'] = {
"httpProxy":PROXY,
"ftpProxy":PROXY,
"sslProxy":PROXY,
"noProxy":None,
"proxyType":"MANUAL",
"class":"org.openqa.selenium.Proxy",
"autodetect":False
}
# you have to use remote, otherwise you'll have to code it yourself in python to
# dynamically changing the system proxy preferences
driver = webdriver.Remote("http://localhost:4444/wd/hub", desired_capabilities)