Absolutely right. In general almost everything that passed as additional parameters for proxy call will go to transport library that implements it: LWP::UserAgent for http, MIME::Lite for smtp/sendmail, etc.

You may specify cookies (examples/cookieauth.pl):

my $soap = SOAP::Lite
  -> uri('urn:xmethodsInterop')
  -> proxy('http://services.xmethods.net:80/soap/servlet/rpcrouter', 
           cookie_jar => HTTP::Cookies->new(ignore_discard => 1))
;

proxy:

my $soap = SOAP::Lite
  -> uri('urn:xmethodsInterop')
  -> proxy('http://services.xmethods.net:80/soap/servlet/rpcrouter', 
           proxy => 'http://my.proxy.server/')
;

or anything else that underlying transport library supports.

If you need proxy authentication you need to specify both proxy server and use authentication as in examples/authentication.pl. Hope it helps. I'm working on SOAP cookbook that should have ready-to-use code for such cases.

Best wishes, Paul.