I’ve been looking for a workaround for quite a while since Amarok developers didn’t put this on top of their priority list. As of version 2.1.1 the player still doesn’t have a proxy setting option in the Settings menu and this can get really annoying when you deal with multiple machines and play music on all of them behind a proxy server.
The only (reliable) solution I’ve found was to manually add the proxy settings to ~/.kde/share/config/kioslaverc:
I found this workaround on a very useful Ubuntu forum. If you have other solutions please share.