SOAP::Lite uses LWP behind the scenes (for HTTP transports). Take a look at the documentation for SOAP::Transport, in particular the section entitled HTTP Proxy Settings. It supplies some examples.

If you can't get that to work immediately, take a step back and see if you can connect to your endpoint using LWP::UserAgent. If you can get that to work, then you can get SOAP::Lite to connect as well.

Hope this helps...