Because I keep forgetting how:

gem install gem_name --include-dependencies \ -p http://[user]:[pass]@[proxy_host]:[proxy_port]

You might also want to add additional gem sources. The normal command for this is gem sources -a [source_url] but the sources command unfortunately doesn't take a proxy parameter. You can directly add a source url to this line in gem/lib/rubygems/defaults.rb.
def self.default_sources %w[http://gems.rubyforge.org/] end

For example, I added github thus:
def self.default_sources %w[http://gems.rubyforge.org/ http://gems.github.com] end

This is of course horribly hacky. If you know of a better way, please tell me.