missing support/example for proxy chain with https connect method support

[regevbr]

I created a simple but shady gist https://gist.github.com/regevbr/de3f5e0475aedd9081608663241bee10 that solves the issue of using this project as a proxy chain.
I think it is worth mentioning this methodology in the readme and add an example. Maybe even add a built in support for this.

[jawadst]

+1

@regevbr Thanks, that's exactly what I was looking for. Very helpful.