Hi Rajat, you can set HTTP proxy with Selenium Webdriver using this code snippet:
import org.openqa.selenium.Proxy;
import org.openqa.selenium.WebDriver;
import org.openqa.selenium.firefox.FirefoxDriver;
import org.openqa.selenium.remote.CapabilityType;
import org.openqa.selenium.remote.DesiredCapabilities;
public class ProxyDemo {
 public static void main(String[] args) {
  // Create proxy class object
  Proxy p=new Proxy();
  // Set HTTP Port to 7777
  p.setHttpProxy("localhost:7777");
  // Create desired Capability object
  DesiredCapabilities cap=new DesiredCapabilities();
  // Pass proxy object p
  cap.setCapability(CapabilityType.PROXY, p);
  // Open  firefox browser
  WebDriver driver=new FirefoxDriver(cap);
  // write your normal automation script here
 }
}