Using a proxy is against the Steam terms of service. Proceed at your own risk.
One of the limitations Steam has is the lack of support for proxies. Especially if you are working in an environment behind a proxy this becomes really annoying.
However, in Linux systems, it's really easy to get the Steam client working under a proxy. The following steps will explain how to get this working.
Figure out where Steam binary is installed in your machine. This can be done with the help of whereis command. In my system, it's installed under /user/games
[si@vet ~]$ whereis steam
steam: /usr/games/steam /usr/share/man/man6/steam.6.gz
Start Steam with http_proxy environment variable set in your terminal. In my system, the proxy is running in localhost port 443.
[si@vet ~]$ env http_proxy=http://127.0.0.1:443/ /usr/bin/steam -tcp %U
This will make Steam use the http_proxy you specified.
That's pretty much it. If you monitor your proxy you will notice all Steam requests are being forwarded through that.
You can go one step further and make your life a little bit easier by creating a custom .desktop file in your ~/.local/share/application to start Steam with the proxy.
[Desktop Entry]
Name=Steam Proxied
Exec=env http_proxy=http://127.0.0.1:443/ /usr/bin/steam -tcp %U
Type=Application
NoDisplay=true
Categories=Games;
By creating a separate .desktop file, you will be able to start the Steam client with or without a proxy very conveniently.