[SPARK-4150][PySpark] return self in rdd.setName

Then we can do `rdd.setName('abc').cache().count()`.

Author: Xiangrui Meng <meng@databricks.com>

Closes #3011 from mengxr/rdd-setname and squashes the following commits:

10d0d60 [Xiangrui Meng] update test
4ac3bbd [Xiangrui Meng] return self in rdd.setName