We're going to use Squid as our proxy. We're actually going to install SquidMan which is a manager for the Squid proxy cache. Installing SquidMan is all you need to get started.
Click here and download the appropriate version. The SquidMan version will depend on what version of OS X you're running.
After downloading SquidMan open the dmg file and move the SquidMan application into your Applications folder.
You can open the app by using Finder to navigate to your Applications folder and clicking on the SquidMan icon.
Or you can simply type
cmd + space bar and search for squidman. The app will open up to the preferences page.
This guide won't cover all of the configuration details. No configuration is required for basic usage, but notice the default port is set to 8080.
Make sure to save your preferences.
To connect to this proxy you'll need to enable the IP range for the client device you will connect with. To do this click on the Clients in SquidMan > Preferences. Then click on "New" and add your IP range.
I used 192.168.1.0/24 to allow any device on my local network.
Now you can simply click Start Squid to start the proxy server.
I'm going to test on my iPhone. You can follow this guide for more details on configuring a proxy on your iPhone.
You'll need to get the IP address of your Macbook. To do so you can open up the Network Utility on your Macbook. Make sure the Wi-Fi interface (en0) is selected. Use the IP address shown for the server. The port will be 8080 unless you changed it.
Example details Server: 192.168.1.244 Port: 8080