*Update*
After doing some digging it turns out that proxy exceptions are only one way of doing this.
I found a useful doc that explains how to utilise PAC (proxy auto-config) file.
http://www.craigjconsulting.com/proxypac.html
Basically you can set your "HTTP Proxy" setting within your wireless config to automatic and point the device to a PAC file.
The PAC file I'm using is modelled on this:-
function FindProxyForURL(url, host)
{
// variable strings to return
var proxy_yes = "PROXY 192.168.1.1:8080";
var proxy_no = "DIRECT";
if (shExpMatch(url, "http://www.mycompanywebsite.com*")) { return proxy_no; }
if (shExpMatch(url, "http://www.myotherwebsite.com*")) { return proxy_no; }
if (shExpMatch(url, "http://www.my3rdlocalsite.com*")) { return proxy_no; }
// Proxy anything else
return proxy_yes;
}
Job done!