Set custom header per request

[colinjc]

Is your feature request related to a problem? Please describe.
Very similar to #333

I'm using a proxy for requests to OpenAI and want to attach arbitrary dynamic metadata to each request as headers. This enables us to log extra information on who's sending the request through our services.

Basically - user sends request to internal service, service builds the prompt, adds their user id as header, and sends request to proxy using ruby-openai.

Current implementation only allows us to set a proxy on Client creation, but we cache it for multiple requests.

Describe the solution you'd like

Extra headers should be passed in with the rest of the request and merge into the extra_headers set in the Client.

def intitialize
  @client = OpenAI::Client.new(...)
end

def request
  @client.chat(
      parameters: {
        ...
      },
      extra_headers: {
        'x-something-userid': '123'
      }
    )
end

Describe alternatives you've considered
Creating a client per request.

[alexrudall]

@colinjc thanks for the request, I'd be open to a PR on this. Out of interest, what's the benefit of caching the client - have you measured any improvement in memory etc.?