Documentation is not very clear about how to set request headers

[teddysupercuts]

I think it would be good to include in the documentation explicitly that .set(key, value) is how you set a request header. May I specify this in the docs?

[keithamus]

Hey @theodorewahle thanks for the issue!

Please feel free to raise a PR to add this to the documentation!

[teddysupercuts]

Hey @keithamus, here is my PR

[austince]

Closed with #256 🎊