Ok, so I have discovered it is the same as chrome, so to add the proxy:
However, this may not be the way to go as it uses the pc proxy settings
-In the top right, click the spanner --> Options
-Click 'Under the bonnet'
-Click 'Change proxy settings' button
-Click 'LAN settings' button
-Tick the 'proxy server' option
-Enter localhost in 'address' and 12080 in 'port'
As I said, this changes the actual internet settings on the host pc, so I think this may not be the best option and it may be better with the ini option.
[EDIT] Oops, you already posted...Well, as I said, I am not too sure if it is the best option to change that, as I think that would change the IE settings as well...so the INI option would be better.