Proxy configuration is tricky becuse it is often configured in each application separately. However, many application use the Internet Explorer settings as the default and they can be set through the registry as detailed here (Microsoft Support). You could create a .reg file for each proxy and either double click it to apply the settings or create a simple batch script to import it.
The registry file has the following form:
Alternatively configure each proxy in turn and then browse to
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings and export the relevant settings.
This configuration could of course also be wrapped up in anything else (VBScript or whatever) that is capable of writing to the registry.