Proxy related doc updates

Hi, I have spent the past 15 years working in professional environments where the http/https proxy was the most annoying issue to myself and all my developer colleagues (in java, matlab, python...). A few years ago I even ended up writing a internal tutorial for our corporate proxy, a public one (https://smarie.github.io/develop-behind-proxy/), and a environment switching tool (https://smarie.github.io/env-switcher-gui/) that is used by many of us especially the ones switching from home office to work place regularly.

This introduction just to say that even if this is issue is now fairly trivial to me, I have been helping hundreds of colleagues over the year (and am still from time to time) so I believe that it is not yet easy to understand for most people.

`requests` is working perfectly fine with proxies. However the way it finds the proxy-related information is not very well documented, and the way one can override this information on a `Session` is quite un-pythonic (a plain dict, therefore possibly error-prone). Some work I did a few months ago using `requests-oauthlib` made me once again think that it would be extremely helpful to have a good helper function on the `Session` object.

This PR contains two things:

 - a `Session.set_http_proxy` method with associated unit tests
 - an update for the Proxies documentation section

I had one afterthought after completing this, maybe you'll find this relevant too: instead of providing just one `set_http_proxy` method, maybe it would be better to split it into two : `set_http_proxy` and `set_https_proxy`. Far more simple and elegant in my opinion, but I'll wait for your first feedback before modding anything here.

Thanks for your time and for maintaining this great lib!


Hi @smarie ,

Thanks for sending this along. Unfortunately, Requests is under a feature freeze so we're not accepting any changes that introduce new API surface area. Documentation updates to make things clearer/more explicit are always welcome though.

Thanks @sigmavirus24 ! I had hoped that such helper would not be considered into this API freeze state :(

Ok then, I'll revert the file changes so as to only leave the documentation mod.

@sigmavirus24 : doc updated. Let me know what you think. 

by the way if this is just doc I should probably remove my name from Authors.rst no?

thanks @sigmavirus24 

Hi all,

just found this issue, after struggling to find an answer to the (seemingly simple - before started digging) question of _whether requests or urllib3 will use the **OS level proxy configuration** by default, if no specific proxy is specified_.  (my specific use case is an PY 3.8 app running on windows 10).

@smarie I read your (great btw!) docs you did up, and the updated requests doc, but they seem to suggest requests will only default to using the system env variables.

...but then I discovered a stackoverflow comment saying requests -would- use the OS proxy configuration.  

I just posted a SO question related to this: https://stackoverflow.com/questions/65931275/python-requests-module-does-it-use-system-level-on-windows-proxy-settings

Thanks @richard-moss for your comment ! let's discuss on stackoverflow and if this comes to a definitive answer that can improve the doc in requests we can propose a change

I made a detailed [answer in stackoverflow](https://stackoverflow.com/a/65933222/7262247). If based on this answer you feel that the documentation of requests should be improved, please feel free to propose a change !