Edit the file "hgrc" with the following lines:
$ cat /etc/mercurial/hgrc
[http_proxy]
host=yourproxyhost:yourproxyport
See man hgrc for other options including name and password. You can verify the proxy is configured using the --debug flag:
References:
http://d.hatena.ne.jp/falkenhagen/20091007/1254909363
