Running wireshark / tshark would be one way.
Many proxies run on port 3128, but substitute this for the proxy you're using. Make you request and if you get traffic to the host and port of your configured proxy, it's probably
working. If it goes to the host for the website, then it's not.
E.g. First without a proxy:
$ tshark -i eth0 -n -Nn tcp port 3128 or tcp port 80
from mechanize import Browser
br = Browser()
br.open('http://news.bbc.co.uk')
0.000000 mylocalhost -> nol-vip05.cwwtf.bbc.co.uk TCP 51088 > 80 [SYN]
0.003296 nol-vip05.cwwtf.bbc.co.uk -> mylocalhost TCP 80 > 51088 [SYN, ACK]
0.003318 mylocalhost -> nol-vip05.cwwtf.bbc.co.uk TCP 51088 > 80 [ACK]
0.003375 mylocalhost -> nol-vip05.cwwtf.bbc.co.uk HTTP GET / HTTP/1.1
With a proxy:
br.set_proxies({'http':'some.proxy:3128'})
br.open('http://news.bbc.co.uk')
0.000000 mylocalhost -> some.proxy TCP 57556 > 3128 [SYN]
0.011529 some.proxy -> mylocalhost TCP 3128 > 57556 [SYN, ACK]
0.011571 mylocalhost -> some.proxy TCP 57556 > 3128 [ACK]
0.011636 mylocalhost -> some.proxy HTTP GET / HTTP/1.1