Tuning active prostheses for people with amputation is time-consuming and relies on metrics that may not fully reflect user needs. We introduce a human-in-the-loop optimization (HILO) approach that leverages direct user preferences to personalize a standard four-parameter prosthesis controller efficiently. Our method employs preference-based Multiobjective Bayesian Optimization that uses a state-or-the-art acquisition function especially designed for preference learning, and includes two algorithmic variants: a discrete version (\textit{EUBO-LineCoSpar}), and a continuous version (\textit{BPE4Prost}). Simulation results on benchmark functions and real-application trials demonstrate efficient convergence, robust preference elicitation, and measurable biomechanical improvements, illustrating the potential of preference-driven tuning for user-centered prosthesis control.