SQL: add index_label keyword to to_sql

Further work on #6292. While looking at possible multi-index support, I thought of first adding this:

- added ability to specify the used column name for the index column in `to_sql` (analoguous to `to_csv`). Good idea?
- I only did it for the new sqlalchemy function, not the legacy one. Only problem is that it starts from the same function call, so all keyword arguments have also to be added to the legacy `to_sql` (https://github.com/jorisvandenbossche/pandas/compare/sql-multiindex?expand=1#diff-b41f9fd042c423682f8e4c4d808dbe64R891) without using it. Is there a better approach? Should I warn that this is ignored if the user specifies this?
- added tests for it

to do:
- [x] should also change this in generic.py
- [ ] check for name conflicts (warn and suggest to use index_label?)


@mangecoeur