You can set the http.proxy option in your settings.json. I have to use just "http.proxyStrictSSL": false because we MITM traffic and the bundled node doesn't check the windows cert store.

I can see the list of extensions doing this but trying to install gives "Server returned 407".

UPDATE: Turns out I have to include my username and password in the URL. I don't install extensions often so I will do this temporary when I do.