When opening it will ask you to set up a pin or confirm it if you already have it set up

Select the main APN and enter the proxy as 10.0.2.2:8888 (Points to your machine localhost) You can use another IP on the network if you are doing it with an actual device or it's on a local device farm.Open Settings > More > Cellular Networks > Access Point Names.If you don't want to faff around with command line you can do this from the emulator, it requires a bit more setup but works nicely: