Allow passing requests session for customisation

[zacps]

This lets users customise network behaviour, for example using requests-cache as a session provides persistent multi-process caching

[urschrei]

Thanks! I'm inclined to accept this PR, but I'd like to see some more documentation added explaining what the feature is for (just a simple example), and making it obvious that it's optional and most people don't have to worry about it.

[zacps]

Cool :). Do you think something like that would be enough?