There is abundant information out there about this not being possible to do in a reliable manner.
Using reflection on the WebView to set the proxy that way as documented at WebView android proxy also does not work on later android devices.
You might find that it works on the android emulator, but on physical hardware it won't work. You'd be better off try to set a proxy on a per-wifi hotspot basis on Honeycomb or ICS.
Alternatively you can set a proxy on Opera mobile and firefox for android using the advanced configuration options.