Cache the session right after they start. Related to #68

@EriHoss is right, the session can know how to clean itself in
case for some reason it fails to start, hence it makes much more
sense to cache sessions right after they start. Also, clear the
media_sessions dict when stopping to get rid of closed sessions.

pyrogram/client/client.py

@@ -423,6 +423,8 @@ def stop(self):
         for i in self.media_sessions.values():
             i.stop()
 
+        self.media_sessions.clear()
+
         self.is_started = False
         self.session.stop()
 
@@ -2992,10 +2994,10 @@ def get_file(self,
                         self.api_id
                     )
 
-                    self.media_sessions[dc_id] = session
-
                     session.start()
 
+                    self.media_sessions[dc_id] = session
+
                     session.send(
                         functions.auth.ImportAuthorization(
                             id=exported_auth.id,
@@ -3011,10 +3013,10 @@ def get_file(self,
                         self.api_id
                     )
 
-                    self.media_sessions[dc_id] = session
-
                     session.start()
 
+                    self.media_sessions[dc_id] = session
+
         if volume_id:  # Photos are accessed by volume_id, local_id, secret
             location = types.InputFileLocation(
                 volume_id=volume_id,
@@ -3082,10 +3084,10 @@ def get_file(self,
                             is_cdn=True
                         )
 
-                        self.media_sessions[r.dc_id] = cdn_session
-
                         cdn_session.start()
 
+                        self.media_sessions[r.dc_id] = cdn_session
+
                 try:
                     with tempfile.NamedTemporaryFile("wb", delete=False) as f:
                         file_name = f.name