Hi Paulo,
That depends on the language you are using. For .NET, I'd recommend Fiddler2 (
http://fiddler2.com/fiddler2/) as the proxy, and then the code to set proxy would look like:
WebRequest webRequest = HttpWebRequest.Create(URL);
WebProxy proxy = new WebProxy();
webRequest.Proxy = proxy;
Fiddler is configured to run as proxy on port 8888, and allowed to decrypt https traffic.