If you have an $http_proxy at your site, where is the proper place to set it, so that things like 'sudo apt-get update' work properly?

Check if it works

First, to test that it's working properly for you, do:

sudo sh -c 'echo http_proxy: $http_proxy'

Make it work

Defaults env_keep += "ftp_proxy http_proxy https_proxy no_proxy"