[FEA] Implement set_names for cuDF.Index

[quasiben]

Is your feature request related to a problem? Please describe.
In exploring a few xarray workflows I found I needed set_names on cudf.Index objects

Describe the solution you'd like
Pandas has a set_names function on Indexes. It would be great if this feature also existed for cuDF

In [29]: pd.Index(np.arange(10)).set_names("Foobar")
Out[29]: Int64Index([0, 1, 2, 3, 4, 5, 6, 7, 8, 9], dtype='int64', name='Foobar')

I would like the above to exist for cuD and CuPy

cudf.Index(cupy.arange(10)).set_names("Foobar")

Describe alternatives you've considered
No alternatives considered