ENH: Preserve .names in df.set_index(df.index)

Preserve .names in df.set_index(df.index)

Check that df.set_index(df.index) doesn't convert a MultiIndex to an Index
Handle general case of df.set_index([df.index,...])
Merge branch 'set_index_names' of https://github.com/qwhelan/pandas into notnull_doc