You can specify using a HTTP proxy by modifying your mygrid.properties used to start Taverna and uncommenting and completing the lines referring to http.proxyhost and http.proxyPort. The mygrid.properties can be found in the conf/ directory of the unzipped download of Taverna. In an environment where Taverna is shared between users then this may be customised by an individual by copying and modifying the mygrid.properties in taverna.home/conf.
If you require authentication you will also need to uncomment and modify the lines referring to http.proxyUser and http.proxyPassword.
If there are hosts that you wish to use that don't require using a proxy then you can add a similar line that declares http.nonProxyHosts.
This is documented in full in the Taverna manual - Proxy configuration.