THRIFT-5165: THttpClient saves session cookie.

THttpClient saves the session cookie of an authenticated HTTP
connection. When the Set-Cookie header is present in a response from the
server, its value is saved in the headers of the http session, in the
Cookie header.

lib/py/src/transport/THttpClient.py

@@ -185,3 +185,7 @@ def flush(self):
         self.code = self.__http_response.status
         self.message = self.__http_response.reason
         self.headers = self.__http_response.msg
+
+        # Saves the cookie sent by the server response
+        if 'Set-Cookie' in self.headers:
+            self.__http.putheader('Cookie', self.headers['Set-Cookie'])