----cmd file start----
@echo off
for /F usebackq %%i in (`bitsadmin /RAWRETURN /LIST /ALLUSERS`) do bitsadmin /SETPROXYSETTINGS %%i PRECONFIG
----cmd file end----

Contributed By: Narayana Mahankali [MSFT]
If no proxy settings are supplied to the job BITS uses the IE proxy settings of the user who submitted the job. So you just have to ensure that the IE is configured with correct proxy settings for the user and then you don't have to use any scripts.

Getting AutoUpdate transfers to use the proxy is little bit tricky. AU runs as LocalSystem account. So you have to make sure that the IE proxy settings of that account are correct. The following is a way to launch IE as the LocalSystem account to correct the proxy settings. Please note that this will only work on XP and Windows Server 2003:

1. Login as Administrator on the console of the machine

2. Find the current time using “time /t” command. Say it is “5:23 PM”

3. Submit a job to task scheduler to start cmd.exe as LocalSystem, 1 minute from now as follows:

    at 5:24pm /interactive cmd

4. At 5:24 pm, you will see a command prompt launched as LocalSystem. The title of this command window will be “c:\windows\system32\svchost.exe”

5. From this command prompt, launch IE with the command "start about:blank" (without quotes)

I believe the future versions of AU will provide a way to set proxy settings.