Fix proxied connections - establish correctly, don't read body.

This change fixes a number of problems which stopped proxied connections
working:

 * We would send "CONNECT / HTTP/1.1", instead of sending the host and
   port, like "CONNECT host:80 HTTP/1.1".

 * We would attempt to read the body following a "200 Connection Established"
   from the proxy, rather than carrying on by sending the actual request.
Merge pull request #35 from chrisa/fix-proxied-connections

Fix proxied connections - establish correctly, don't read body.