Retry the write on WANT_READ or WANT_WRITE
Added note on precondition for function
Check if the socket goes away during proxy_wait_for_reply()

If the socket is closed due to an error, then this request
should stop using the socket, too.
Clean up more quickly when a proxy socket closes.

Walk over all outstanding requests, and change the timers on ones
which are associated with this socket.

They will let them close their connections with the proxy listener
more quickly, which means we can get rid of the proxy listener
more quickly.