Read many articles which recommends to set following system properties -
System.setProperty("proxySet", "true");
System.setProperty("proxyHost", "127.0.0.1");
System.setProperty("proxyPort", "8888");
Or
Setting using Java VM arguments "-DproxyHost=127.0.0.1 -DproxyPort=8888"
Both the approaches does not make the network calls captured :(