No need to implement your own! in most cases
Requests has built in support for proxies, for basic authentication:
proxies = { 'https' : 'https://user:password@proxyip:port' }
r = requests.get('https://url', proxies=proxies)
see more on the docs
Or in case you need digest authentication HTTPDigestAuth may help.
Or you might need try to extend it like yutaka2487 did bellow.
Note: must use ip of proxy server not its name!