1. Define one or more proxies using the Add New Proxy button.
2. On the patterns tab for each proxy, define one or more patterns.
3. Change FoxyProxy from disabled to Use proxies based on their pre-defined patterns and priorities.
4. Surf the web. Whenever a URL to which you browse matches one of the patterns* you've defined, the associated proxy is used to load that URL.

* Providing (1) FoxyProxy is set to "Use proxies based on their pre-defined patterns and priorities" and (2) there is no blacklist pattern defined for that URL.

For a more detailed guide on configuring FoxyProxy, read this.