Allow auth headers

[shinneider]

Hi.

In my actual project a i need to send auth header in client to server, but de in client no has this option.
i created a workaround for this... i overrided _handle_eio_connect in socketio/client.py and add data manually on send func line 624 ex. self._send_packet(packet.Packet(packet.CONNECT, namespace=n, data={....}))

but is great functionality of socket io, and i suggest create official way to send...

[shinneider]

My code suggestion:

class Client(Client):
    ...
    auth_data = None
    
    ...
    
    def add_auth(self, data):
        self.auth_data = data

    def _handle_eio_connect(self):
        ....
        self._send_packet(Packet(CONNECT, namespace=n, data=self.auth_data))
            

to add data just sio.add_auth({...})

allow to create a PR ?