docs: improve proxy docs (ALL_PROXY vs HTTPS_PROXY) (#1025)

Fixes #1023.

README.md

@@ -299,14 +299,27 @@ Kubernetes Engine][connect-to-k8s].
 
 ## Running behind a Socks5 proxy
 
-The Cloud SQL Auth Proxy includes support for sending requests through a SOCKs5
-proxy. If a Socks5 proxy is running on `localhost:8000`, the command to start
+The Cloud SQL Auth Proxy includes support for sending requests through a SOCKS5
+proxy. If a SOCKS5 proxy is running on `localhost:8000`, the command to start
 the Cloud SQL Auth Proxy would look like:
 
 ```
-ALL_PROXY=socks5://localhost:8000 cloud_sql_proxy -instances=$INSTANCE_CONNECTION_NAME=tcp:5432
+ALL_PROXY=socks5://localhost:8000 \
+HTTPS_PROXY=socks5://localhost:8000 \
+    cloud_sql_proxy -instances=$INSTANCE_CONNECTION_NAME=tcp:5432
 ```
 
+The `ALL_PROXY` environment variable specifies the proxy for all TCP
+traffic to and from a Cloud SQL instance. The `ALL_PROXY` environment variable
+supports `socks5` and `socks5h` protocols. To route DNS lookups through a proxy,
+use the `socks5h` protocol.
+
+The `HTTPS_PROXY` (or `HTTP_PROXY`) specifies the proxy for all HTTP(S) traffic
+to the SQL Admin API. Specifying `HTTPS_PROXY` or `HTTP_PROXY` is only necessary
+when you want to proxy this traffic. Otherwise, it is optional. See
+[`http.ProxyFromEnvironment`](https://pkg.go.dev/net/http@go1.17.3#ProxyFromEnvironment)
+for possible values.
+
 ## Reference Documentation
 
 - [Cloud SQL][cloud-sql]