You should create a proxy repo in Nexus and add it to the group you use to access Nexus. This is described in more detail in the Nexus book e.g. in the chapter about Maven configuration.
The main advantage is that you can have a whole bunch of developers, CI servers and so on, that do NOT have to change the settings file and you can just add more proxy repositories and artifacts for all of them by just adding more to the group.
Resolving these repositories via a group in Nexus is also quite a bit faster than having Maven do all the resolving on the client.
And btw. the priority of the repositories is determined by the order of the repositories in the group.