By default, BitComet supports various proxy connecting ways: standard proxy, socks v4, socks4a, socks v5, and HTTP 1.1. A proxy is good to be used with BitComet, but you should use one that's in the near "vicinity" (eg. your country), because the far the proxy server is located, the longer it will take to connect and download. Downloading speed is greatly affected by the distance and if the peering connection is low, then you should expect terrible speed.
However, I personally recommend using SOCKS, since they're the most secure along with authentication. But to make it more flexible, a VPN is also indicated to be used when downloading. Luckily, there are plenty free VPNs to choose from.
The best solution is to use TOR Browser and its socks service/anonymity with BitComet.
Install Tor Browser and start it, then go to the opened browser and access its proxy settings. Note them somewhere and then switch to BitComet. Go to Options > Connection > Proxy. Select Socks v4 and type the address (from the other browser) into the proxy field in BitComet then you can download.
Download Tor Browser: https://www.torproject.org/download/download-easy.html.en