Changing your gem environment

Look for a file called .gemrc in your home directory - remember it's a hidden file, so might not be immediately visible. 

Edit it in the normal way, so, if you want a proxy type in: 

http_proxy: http://px1.org.uk:8080
one the second line.

Bob's your uncle.

Using gems from the command line behind a proxy

Before running the gem commands:

export HTTP_PROXY=http://proxy_url:proxy_port

simples

How to get gems running from behind proxy: e.g. heroku

First, type in the following in the command line
export HTTP_PROXY='http://proxy.com:8080'
Then any gems you use from there will work via your proxy.
I used this to get the heroku gem running