set_proxy.sh

#! /bin/sh

proxy=$PROXY

if [ "$1" == "on" ]; then

	echo "exporting proxy"
	export http_proxy=$proxy
	export https_proxy=$proxy

	echo "setting git proxy to $proxy"
	git config --global http.proxy $proxy
	git config --global https.proxy $proxy

	echo "setting npm proxy to $proxy"
	npm config set proxy $proxy
	npm config set https-proxy $proxy

	echo "setting bower proxy to $proxy"
	sed -i.bak 's|"proxy": ""|"proxy": "'"$proxy"'"|g' $HOME/.bowerrc
	sed -i.bak 's|"https-proxy": ""|"https-proxy": "'"$proxy"'"|g' $HOME/.bowerrc

	echo "setting Package Control proxy to $proxy"
        sed -i.bak 's|"http_proxy": ""|"http_proxy": "'"$proxy"'"|g' "$home/AppData/Roaming/Sublime Text 3/Packages/User/Package Control.sublime-settings"
        sed -i.bak 's|"https_proxy": ""|"https_proxy": "'"$proxy"'"|g' "$home/AppData/Roaming/Sublime Text 3/Packages/User/Package Control.sublime-settings"
else

	echo "resetting proxy"
	export http_proxy=
	export https_proxy=

	echo "resetting git proxy..."
	git config --global --unset http.proxy > /dev/null 2>&1
	git config --global --unset https.proxy > /dev/null 2>&1

	echo "resetting npm proxy..."
	npm config rm proxy > /dev/null 2>&1
	npm config rm https-proxy > /dev/null 2>&1

	echo "resetting bower proxy..."
	sed -i.bak 's|"proxy": "'"$proxy"'"|"proxy": ""|g' $HOME/.bowerrc
	sed -i.bak 's|"https-proxy": "'"$proxy"'"|"https-proxy": ""|g' $HOME/.bowerrc

	echo "resetting Package Control proxy..."
        sed -i.bak 's|"http_proxy": "'"$proxy"'"|"http_proxy": ""|g' "$home/AppData/Roaming/Sublime Text 3/Packages/User/Package Control.sublime-settings"
        sed -i.bak 's|"https_proxy": "'"$proxy"'"|"https_proxy": ""|g' "$home/AppData/Roaming/Sublime Text 3/Packages/User/Package Control.sublime-settings"

fi

Good job!
Is this for Windows right ?

Thanks! Yea, this was for a cygwin setup. But the only think that is windows specific is the location of the SublimeText settings.