Setup proxy in Mac OS X Lion Installer
Open the Terminal and enter your proxy configuration using "networksetup".
For example

networksetup -setautoproxyurl Ethernet http://your.proxy.url/proxy.pac


"Ethernet" is the name of the network service, use

networksetup -listallnetworkservices


to see which name to use. If you don't use automatic proxy configuration, see "man networksetup" to see how to set up a manual configuration.

Then quit the Terminal and start the installation.