Well, I've just installed Firefox 1.5 in MEPIS (new venture) and you set a proxy almost exactly as you do in the Windows version. The only difference is the location of Options/Preferences.
In the Linux version, it's Edit -> Preferences (read Tools -> Options in Windows) -> General -> Connection Settings. Choose a proxy from the
Cable Forum list, select Manual Proxy Configuration, type (or paste) your chosen proxy into HTTP Proxy Configuration only, set the port to 8080 and click OK. Don't set a proxy for anything other than HTTP.
There's also an extension for Firefox that allows you to change your proxy on the fly - SwitchProxy. You can get it from the
developer's page, but the latest version is now on the
Firefox extensions page. You can enter the details for several proxies into this, and change them with a few clicks on a toolbar - very convenient if you're having proxy headaches.