macOS lets you configure separate proxy settings for each network you connect to, which is handy if you only want a proxy active on certain Wi-Fi networks.
Where to find it
Open System Settings, go to Network, select your active connection, and click Details (or Advanced on older macOS versions), then the Proxies tab. From there you can enable Web Proxy (HTTP), Secure Web Proxy (HTTPS), or SOCKS Proxy independently.
Entering proxy details
Check the box next to the protocol you need, then enter the server address and port. If the proxy requires authentication, macOS will prompt for a username and password the first time it's used.
Per-network behavior
Because these settings are tied to the specific network profile, switching Wi-Fi networks automatically switches proxy configuration too — useful for keeping a proxy active only at home or only on a specific connection.