Overview
This brief article walks a user through the steps to set up a network proxy on macOS. Typical uses for a network proxy on a local network are to cache web content for the purpose of low latency web requests and also content filtering (e.g., blocking ads & tracking sites).
Configuring a network proxy is simple on macOS and is done through interaction with the macOS System Preferences panel. System Preferences is typically found in your dock, but you can also invoke it under the main system menu by clicking on the apple () in the upper left of your desktop.
Note that we're using macOS Mojave Version 10.14.4 to capture the screen shots below.

The next step is to select "Network", and it will become highlighted if you type in "proxies" in the search box in the upper right of the panel, as shown in the figure below.

Next we select our network interface for configuring the proxy. In our case, we're using our Ethernet connection. After selecting the interface, select the "Advanced..." button in the lower right.

Finally we configure our proxy by selecting each protocol that we wish to configure. For web browsing, we'll want to select at least HTTP and HTTPS. A proxy requires both an IP Address and a port as shown in the figure below.
Note that you can disable proxy access for other hosts on your local network (e.g., accessing a local web server). This is accomplished with the "Bypass proxy settings ..." input field in the proxy configuration panel near the bottom.

Select "OK" and then "Apply". Note that it's not necessary to close the System Preferences panel for the change to take effect. For example, you may wish to occasionally disable a proxy & content filter to access web content that isn't written properly and requires third party Javascript tracking libraries to work (shame on the web developer!).