Add a proxy to a particular host only in mac

You can use the following proxy.pac file to send all traffic to apple.com through the proxy 1.2.3.4 while still going directly to all other hosts:

function FindProxyForURL(url, host) {
    PROXY = "PROXY 1.2.3.4"

    // Apple.com via proxy
    if (shExpMatch(host,"*.apple.com")) {
        return PROXY;
    }
    // Everything else directly!
    return "DIRECT";
}

1. Save this script as proxy.pac(or any other name you like) on a web server. This can be a local web server (http://localhost/proxy.pac). This is required as of OSX Lion.
2. Go to the System Preferences.
3. Select Network.
4. Select the network you want to change (i.e. "WiFi").
5. Click Advanced... button.
6. Click Proxies tab
7. Check [x] Automatic Proxy-Configuration.
8. In the URL: field, type in the URL to the file you've created in step 1., for example: http://localhost/proxy.pac. (note: local paths will not work in modern OSX)
9. Click Save and Apply

Voila! Your own proxy-configuration

For more information on the format of the proxy.pac file have a look at http://en.wikipedia.org/wiki/Proxy_Auto-Config as starting point.

Actually you can use the file:///path/to/file scheme for the URL, instead of having to rely on a web server.

For example:

file:///Users/youruser/var/proxy/proxy.pac

Adding to @heiglandreas's answer...

@jnbek's solution did not work on Mac OSX for me and I was looking for a simple solution.

So, I created a new folder and copied the pac file into that. Then, I started a simple web server on OSX on port 80 from that folder itself.

Just go into the folder & run this command. Please change the port from 80 to something else if its already occupied.

python -m SimpleHTTPServer 80

Now, I could easily get the proxy.pac file from http://localhost/proxy.pac. Or, for different port use: http://localhost:PORT/proxy.pac.