wget --help doesn't tell you much. For more detail you can check the online wget manual Or man wget (they are different things, it's often worth checking each)
In short, here's an example
C:\sdf>wget -e http_proxy=127.0.0.1:8118 www.google.com
The manual mentions
wgetrc commands. You see some things about http proxies listed there.
6.3 Wgetrc Commands
http_proxy = string
Use string as http proxy, instead of the one specified in environment.
https_proxy = string
Use string as https proxy, instead of the one specified in environment.
Wget supports proxies for both http and ftp retrievals. The standard
way to specify proxy location, which Wget recognizes, is using the
following environment variables:
If set, the http_proxy and https_proxy variables should contain the urls of the proxies for http and https connections respectively.
Regarding the wget man page and the "wget manual".
Man pages at the command line are up to date, but the manual(a different entity from manpage), is not always an up to date wget version. As of writing(sept 2015) it is. http://www.gnu.org/software/wget/manual/wget.html You can see the version at the top and check if it's the latest http://ftp.gnu.org/gnu/wget/ it shows dates too. (You see on archive.org that in e.g. Nov 2013 the gnu manual was very out of date. In Nov 2013 even March 2014, they were still showing wget 1.13.4 which was from 2011)
For the manpage, if you're checking from command line then it must be the version you're using so you can be fine there by just making sure your command is up to date / updating it. You may want to check that the/any online source you are using is showing the latest man page. This one seems fine https://www.kernel.org/doc/man-pages/ links to http://man7.org/linux/man-pages/man1/wget.1.html You can also check the version there against the ftp link to make sure it's the latest version.