Added proxy usage and custom User-Agent documentation

Closing samgiles#105 and using this as a replacement PR. I think it would be better to document these options instead of changing the API object.

docs/options.rst

@@ -64,6 +64,31 @@ Turning SSL certificate verification off::
 
     API("https://path/to/my/api", session=requests.Session(verify=False))
 
+
+User-Agent
+----------------
+
+Adding a different User-Agent::
+
+    user_agent = "Mozilla/5.0 (X11; Linux x86_64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/44.0.2403.157 Safari/537.36"
+    
+    #Also, additional headers can be passed through the headers parameter when construction the Session object 
+    API("https://path/to/mdy/api", session=requests.Session(headers={'User-Agent':user_agent))
+
+Proxies
+----------------
+
+Using http(s) proxies::
+
+    #You need a http and https proxy. If its the same proxy, then use
+    # the same proxy for http and https.
+    proxies = {'http':'http://111.111.111.111:8080','https':'http://111.111.111.111:8080'}
+
+    #proxies with username and password
+    authenticated_prxoies = {'http':'http://user:[email protected]:8080','https':'http://user:[email protected]:8080'}
+    API("https://path/to/my/api", session=requests.Session(headers={'User-Agent':user_agent))
+
+
 For more information see the documentation for ``requests.Session``.
 
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