Update client docs to refer to client.close()

[yunong]

From #858, it's clear that the client docs need some work. We should for one, at least document the fact that connections remain open until explicitly closed by the client.

[micahr]

Here is an initial list of tasks for client docs

• client.close()
• Proxying vs Tunneling
• Agents
• Full list of options and what they do

[retrohacker]

Sorry @micahr, could you clarify what you mean by Agents? Is this referring to the HTTP header User-Agent?