Finally I figured out how to use the Android SDK and AVD manager with a proxy… I configured it correctly in Eclipse and it worked without problems but the manager does NOT honour these settings!
The solution is to start the SDK and AVD manager stand-alone, just change to your Android SDK directory, subdirectory tools and start „android“ (or android.exe on Windows I guess). The manager opens with a new „Settings“ section on the left side.
It takes a host name and a port, and you are able to force it to use http instead of https. It seems there is no option to use authentification so you would have to whitelist https://dl-ssl.google.com on your proxy if you have the ability.
I found the solution on stackoverflow.