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If you're not familiar with Firefox Profiles, here's what you get:

Create as many profiles as you want. Each profile has different settings for things like: cookies, proxy, passwords, javascript/plugin enabling, history, cache, you name it. Probably everything.

I use them a lot with Firefox, as they're quite useful. Just one of the few reasons I keep Firefox hanging around.

I think the KDE cookie/proxy KDED module/daemon(s) or whatever are KDE global so looks like it's more than just a konq job so.... even new $KDEHOME can't do the job, iirc.

I like your idea but I think it needs to be in a more global location. Konqueror is not the only application that uses proxy settings.
I have posted an idea http://forum.kde.org/viewtopic.php?f=83&t=62312 to integrate proxy settings into the NetworkManager where it can be set when selecting which network to connect to.

Also twolfy has posted an idea to automatically guess at which network to connect to based on the IP address of the DNS server for that network.(http://forum.kde.org/viewtopic.php?f=83&t=39025&p=82298#p82298.

If you wanted to use different proxies when on the same network you could always configure more than 1 network in NetworkManager with everything else the same except for the proxy setting