I found out something in eGate user guide which might be a correct way to do it. ( It's a another issue that I am still not able to get a proper response :-)
On the JVM Options page, add your HTTP Proxy Server hostname and port using
the following entries:
-Dhttp.proxyHost=127.0.0.1
-Dhttp.proxyPort=888
3 Click Save.
and in the web services client
A Set the Enable HTTP Proxy Server Authentication property to true.
B Set the User Name property to the name of the proxy server user, and set the
User Password to that user抯 password. This information will appear in the
header.