Support for configuring cookies in the requests.

[Ilgrim]

Hi! It would be nice to have support for setting Cookies in the request.

Currently I am working on a side project of a load balancer/reverse proxy and I detected that I need to check if the cookies are properlly passed to the backend servers. So I think it can be an interesting feature.

Maybe this is only interesting for my corner case, but I would like to suggest implementing this if It is possible. Or at least for taking in consideration.

Thank you very much for your awesome work.