How to initialise Webdriver and RemoteWebdriver with custom Proxy

This example described how to use proxy in IE, Chrome and Firefox for WebDriver and RemoteWebDriver
also in this example shown how to set proxy for Firefox via profile and Chrome via options
To use remote proxy you should also implement appropriate REST client. So if you're not planning to do that, just edit this line to avoid confusion, as setting remote proxy to selenium won't be working with local proxy server instance.