LuaRocks performs network access through helper applications: curl (on Mac OSX) or wget (on other platforms). Both of them use the same method to configure proxies: the http_proxy and ftp_proxy environment variables.
Additionally, a proxy value must be added to config.lua:
proxy = "http://server:1234"
Environment variable example
On Unix systems, you can set the http_proxy environment variable like this:
export http_proxy=http://server:1234
On Windows systems, the command syntax is:
set http_proxy=http://server:1234