"Configuration Options" documentation and "headers" configuration

Hi,

We have the following requirement, to send custom headers with the API requests for two reasons:
* We user [http://developer.github.com/v3/media/](Github Media Types)
* We intercept the API calls before redirecting them to Github and we need some custom headers

I have also written the missing "Client Configuration Options" section in the README.md file which documents all (I guess) the options.

Could you please merge this pull request?

Thanks!