For example, I have a development site on a different server but I'm trying to copy content over from the live site so it'd be handy to have the live site in IE and the dev site in FF.
I tried FoxyProxy but I can't seem to get it to work.
I am using the SwitchHost extension exactly for this problem: https://addons.mozilla.org/en-US/firefox/addon/14258
It is easy to configure, and even more easy to switch hosts.