use explicit scheme for proxies in the docs

Issue #1192 tried to force user to provide a scheme for proxy urls.
As this would break backwards compability change the docs instead.
Make sure session cookies do not overwrite explicit request cookies
Implement RequestsCookieJar.copy
Use RequestsCookieJar.update when merging cookiejars
Rethrow underlying exceptions.
Merge pull request #1199 from t-8ch/docs_explicit_proxy_scheme

Use explicit scheme for proxies in the docs
Merge pull request #1200 from gazpachoking/session_cookies_fix

Make sure session cookies do not overwrite explicit request cookies
Merge pull request #1193 from Lukasa/timeout_exception

Throw more informative exceptions.
Lukasa is lazy