UPDATE: [2010-05-21] It works with Froyo (Android 2.2)
But, that is "un-official way", you need to modify something (the settings.db file) in core system of Android, and you must "restart" emulator to make it available.
Now, I found a new way, such a very simple way (I don't know why I haven't found it before). You can use GUI of Android to set proxy, and it works immediately.
(Note: this guide line for all versions before 2.0 only. It NOT works with Eclair, and I don't know the reason >"<. [---Update: It works with Froyo---] ) 1. Firstly, go to Settings menu, then select Wireless controls
2. In the Wireless controls menu, select Mobile networks,
Access Point Names
4. Press Menu hard key, then select New APN
5. Fill information of your proxy, ex:
APN: internetProxy: your.proxy.server.com
(You can use your own proxy host and port for Proxy and Port fields)
6. Press Menu hard key, then select Save.
7. You will be returned to Mobile network settings menu, you need to select Access Point Names again and select your new APN to activate it.
8. Press Home hard key to return Home screen. Go to Browser application.
Now, you can use your own proxy for Android browser.