I had a similar problem!
You have to set the http_proxy variable first then you can use it in the wget... I have the exact syntax around here somewhere let me dig for it. Ok if you need the exact syntax I can post it for you tommrow, it's on my other partition but their is two ways to do it, one which is just using command line arguments work with export http_proxy and then using that proxy for wget, the other method is to add the information directly to the .wgetrc I've pasted the relevent man page parts for ya
Wget supports the use of initialization file .wgetrc. First a system-wide init file will be looked for (/usr/local/lib/wgetrc by default) and loaded. Then the user's file will be searched for in two places: In the environmental variable WGETRC (which is presumed to hold the full pathname) and $HOME/.wgetrc. Note that the settings in user's startup file may override the system settings, which includes the quota settings (he he).
The syntax of each line of startup file is simple:
variable = value
http_proxy = string
Use the string as HTTP proxy, instead of the one specified in environment.
then you can manage use of the proxy with just
-Y on/off --proxy=on/off
Turn proxy on or off. The proxy is on by default if the appropriate environmental variable is defined.
If this is all too confusing and strange I can get you the exact syntax I used tommrow. Good luck