Minor doc updates

- Improve wording of sentence describing proxy environment
  variable setting.
- Mention that proxy URLs must include the scheme.

docs/user/advanced.rst

@@ -305,7 +305,8 @@ If you need to use a proxy, you can configure individual requests with the
 
     requests.get("http://example.org", proxies=proxies)
 
-You can also configure proxies by environment variables ``HTTP_PROXY`` and ``HTTPS_PROXY``.
+You can also configure proxies by setting the environment variables
+``HTTP_PROXY`` and ``HTTPS_PROXY``.
 
 ::
 
@@ -321,6 +322,8 @@ To use HTTP Basic Auth with your proxy, use the `http://user:password@host/` syn
         "http": "http://user:pass@10.10.1.10:3128/",
     }
 
+Note that proxy URLs must include the scheme.
+
 Compliance
 ----------