The setup for getting docker working on OSX behind a proxy is slightly more complex than just following the instructions on the Docker website. I found the information I needed at the below 2 links, but I'm copying the information here in case for some reason those links break or go away.
For Docker 1.4.1
First, install Docker normally according to the website: https://docs.docker.com/installation/mac/
Open up your ~/.bashrc or ~/.zshrc (depending on which shell you're using) and add the Docker environment variables by adding the following lines to the file: