In windows environment simply add following line in the sbt/sbtconfig.txt
-Dhttp.proxyHost=PROXYHOST
-Dhttp.proxyPort=PROXYPORT
-Dhttp.proxyUser=USERNAME
-Dhttp.proxyPassword=XXXX
or the Https equivalent (thanks to comments)
-Dhttps.proxyHost=PROXYHOST
-Dhttps.proxyPort=PROXYPORT
-Dhttps.proxyUser=USERNAME
-Dhttps.proxyPassword=XXXX