That's all you have to do. Select the Proxies panel. If the proxy server stops working you won't be able to get any external files. Both the CUED and the university's proxy servers have restrictions on who can use them. You can only use the University proxy if you are within cam.ac.uk .
Some documentation is licenced to be available only within the Cambridge domain.
The standard proxyconf.pac won't work for Whittle users who need secure pages.