Safari on Mac uses the Mac system settings to configure the proxy server. This is how you open it.

Click on the Safari Menu and then select Preferences.

Now you can see a bunch of tabs. Click on the Advanced tab.

And then, click on the Change settings button set against the Proxies label.

This will open Mac's system proxy preferences page. Select Web Proxy (HTTP) or Web Proxy HTTPS or Both based on the type of proxy server you have available. Enter the IP and port of the proxy. Make sure you enter the username and password for the proxy if it needs it. Once you are done, press OK.

That saves the proxy settings, and you can now navigate Safari to a service like HTTPBin http://httpbin.org/ip to see if Safari is using the proxy you typed in or not.