Unfortunately, it didn’t work either. gem printed these warnings: “407 Proxy Authentication Required”. I didn’t want to give up though. A fresh thought after browsing the interwebs for a while was to set up a local proxy without authentication.
Luckily, I came across the SquidMan app. On the first start, it installed squid itself. Then, in Preferences leave the default 8080 HTTP port. In Parent tab, enable “Use a parent proxy server” check and enter your information:
Start the squid and finally, it works! By the way, you can specify the proxy in system settings, so that apps that don’t support proxy with authentication can now use our local proxy.