I found the instructions on some page.
I've pasted them here for easier access.
Basically the steps are:
1 - sudo apt-get install socket
2 - in your home directory, put a shell script called "proxy-cmd.sh"
containing (replace YOUR_PROXY and YOUR_PROXY_PORT with your own proxy
(echo "CONNECT $1:$2 HTTP/1.0"; echo; cat ) | socket YOUR_PROXY
YOUR_PROXY_PORT | (read a; read a; cat )
3 - chmod +x proxy-cmd.sh
4 - export GIT_PROXY_COMMAND=<PATH TO YOUR SCRIPT>/proxy-cmd.sh
Note: you can export GIT_PROXY_COMMAND in your ~/.bashrc file to make