At least in WebAuth, you can just use environment variables (100% works in linux, 99% sure, works in windows too):

e.g.

$ export HTTP_PROXY="http://10.10.1.10:3128"
$ export HTTPS_PROXY="http://10.10.1.10:1080"
$ export ALL_PROXY="socks5://10.10.1.10:3434"

If you added this proxy variables to your system, requests lib, which used in WebAuth, will automatically pick up them, and will use proxy.

If you use SteamClient, you can also try this method, but I almost sure, it won't work because SteamClient use low level python sockets under the hood. This means, for SteamClient you can wait untill someone rewrite it (I had this idea, but don't know how long it takes), or rewrite it by yourself :(