I have set up wifi, I installed HTTP proxy and configured it, but where I put the proxy authentication credentials?
According to this, you need an external app and you need to root the phone.
Some other solutions shared in a Google Code issue thread.
Using Gesture Search, I entered "proxy" and got to the Proxy settings on my Droid. Don't know how to get there otherwise, and don't know if it actually works, but there you go. (Someone else mentioned it in that Google thread.)
Try Proxy Settings, a free app that reveals the Proxy settings button available in most stock ROMs.
Keep in mind that some apps (e,g: chrome) do not recognize those settings and will ask you for credentials in the first time (as of oct 18)
This also imply you can use authenticated proxy in .pac file while using chrome.