Add recipe to use PEX with requests module and proxies. (#659)

Fixes #657

docs/recipes.rst

@@ -31,3 +31,30 @@ configuration can be passed in the same way:
   $ service.pex myapp:appinstance -c /path/to/gunicorn_config.py
 
 And there you have it, a fully portable python web service. 
+
+PEX and Proxy settings
+----------------
+
+While building pex files, you may need to fetch dependencies thought a proxy. The easiest way is to use pex cli with the requests extra and environment variables. Following are the steps to do just that:
+
+1) Install pex with requests
+
+.. code-block:: bash 
+
+    $ pip install pex[requests]
+
+2) Set the environment variables
+
+.. code-block:: bash 
+
+    $ # Hopefully your proxy supports https! If not, you can export HTTP_PROXY:
+    $ # export HTTP_PROXY='http://user:pass@address:port'
+    $ export HTTPS_PROXY='https://user:pass@address:port'
+    
+3) Now you can test by running 
+
+.. code-block:: bash 
+
+    $ pex -v pex
+    
+For more information on the requests module support for proxies via environment variables, see the official documentation here: http://docs.python-requests.org/en/master/user/advanced/#proxies.