I don't know if this would work, you would have to try and do a little research.
On Linux, I can export a system variable HTTP_PROXY="http//proxy.address.com:8080" to get proxy support in a terminal and most other programs, without having to configure a proxy in each program individually.
I don't know if this works on OS X too and I don't even know if MC would work with it - you have to try. I would test it for you but unfortunately I don't have OS X or Linux behind a proxy at work.