Configurable `Connection` response header

[oxy-star]

Hello, I see that goproxy always adds Connection: close header to response. For my use case I'd like keep connection open because now a proper proxy client will close connection after seeing the header.
I'm thinking something like ProxyHttpServer.AddConnectionCloseHeader bool could work. OR maybe a parameter not to set Connection header by default
I'd happily submit a PR if we can approximately agree how to implement this.