Exactly like Ramesh above :) Also tried to apply config directly like this:
given().config(newConfig().httpClient(httpClientConfig().setParam(ConnRoutePNames.DEFAULT_PROXY, httpProxyInstance))).expect()...
With plain HTTP Client:
HttpHost proxy = new HttpHost({proxy ip}, {proxy port}, "http");
DefaultHttpClient httpclient = new DefaultHttpClient();
httpclient.getParams().setParameter(ConnRoutePNames.DEFAULT_PROXY, proxy);
HttpHost target = new HttpHost({url here}, 80, "http");
HttpRequest req = new HttpGet("/");
HttpResponse rsp = httpclient.execute(target, req);