net/http: add CONNECT bidi example

[bradfitz]

https://go-review.googlesource.com/c/go/+/123156 is removing some documentation from http.Transport that says not to use CONNECT requests with Transport because it's adding CONNECT support.

We should also add examples. CL 123156 has a test which is close at least, but could be cleaned up and be made less unit-testy.

[fengzixu]

I would like to handle it. Could you give this issue to me? @bradfitz

[bradfitz]

Go for it.

[odeke-em]

Hello there @fengzixu, thank you for taking on this issue. Might you have some free time in the next week or so to tackle this issue? Or if not, no biggie please let me know and we can send a CL for it. Thank you.

[fengzixu]

@odeke-em Yep. Let me check it and resolve this issue.

[ToastCheng]

Just noticed this issue has been open for a while, I would like to give it a try 😀

[gopherbot]

Change https://golang.org/cl/251518 mentions this issue: net/http: add CONNECT example for http.Transport