Hi,
Please bear in mind there are not many details regarding your network environment here.
You should replace the current proxies with the proxy provided by SWG. In order to get most of the features I'd consider deploying the product in Inline + Proxy mode.
Maybe the proxy IP address of SWG can replace the one used on your existing proxy?
Avoid creating a chain of proxies, is not supported and will cause issues.
Some other suggestions regarding deployment can be found here:
http://www.symantec.com/docs/TECH144596
Should you have any further question just let us know.
Federico