Or if you really want to get fancy you can set your browser to use proxy autoconfiguration to some local file that you can generate/edit from a script. Proxy autoconfiguration allows you to define a policy for whether to use a proxy or not for specific requests, so for instance you can have a browser use a proxy for everything except http://www.perlmonks.org.

More info on proxy autoconfiguration

Probably overkill and not really helpful for you, but couldn't resist the urge of mentioning this...

In reply to Re: Scripting setting the connection settings in Mozilla by eXile
in thread Scripting Proxy Settings in IE and Firefox by slloyd

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