Also the only danger in using `+=` is if the user sets `socket_options` to `None`, which they no longer need to do to disable the defaults. This is making me consider changing [this line](https://github.com/shazow/urllib3/pull/397/files#diff-ba7cb8edcbac0c25e81c20eba663f317R93) to add `or []` to the end. This way we can use `+=` with a bit more certainty.