We will do some modifications for the next version (to be released maximum next week) where you will be able to do something like this:
SphinxLogin1.Client.OnHttpClienCreate :=
procedure(Client: THttpClient)
var
Engine: TWinHttpEngine;
begin
Engine := TWinHttpEngine(Client.Engine);
Engine.ProxyMode := THttpProxyMode.Custom;
Engine.ProxyName := 'foo';
end;