For the longest time I was thoroughly annoyed by how Ubuntu forced me to enter my password twice every time I need to switch the proxy settings.
The following BLOG entry finally solved this for me (for now)
Edit /usr/share/polkit-1/actions/com.ubuntu.systemservice.policy as follows
<action id="com.ubuntu.systemservice.setproxy">
<description>Set current global proxy</description>
<message>System policy prevents setting proxy settings</message>
<defaults>
<!-- PTI : original settings
<allow_inactive>no</allow_inactive>
<allow_active>auth_admin_keep</allow_active>
-->
<allow_inactive>yes</allow_inactive>
<allow_active>yes</allow_active>
</defaults>
</action>