[bug] Manually passed Cookie header overrides http.CookieJar cookies

[tebruno99]

From websocket created by yauheni-chaburanau: gorilla#597

Description
If you manually pass Cookie header in DialContext(..., http.Header), cookies from Dialer.Jar will be overwritten.

Steps to Reproduce

dialer := websocket.Dialer{
	Jar: jar,
}

header := http.Header{}
header.Set("Cookie", "some_cookie_name=some_cookie_value")

... = dialer.DialContext(ctx, url, header)

Possible reason
From the first look I would say that this is happening because the part of code which is responsible for setting up all the passed headers ignores already applied Cookie header from http.CookieJar.

[tebruno99]

Original Comment: @garyburd gorilla#597 (comment)

There are several options here:

1. The jar is ignored when cookie header is specified (current behavior).
2. Cookie header is ignored when a jar is specified.
3. It is an error to specify a cookie header and a jar.
4. Append cookies from jar to cookies specified in header (Fix Manually passed Cookie header overrides http.CookieJar cookies gorilla/websocket#599)
5. Append cookies form header to cookies from jar.

Changing from option 1 to another option is an incompatible change, but it’s not likely to be a problem in practice.

Applications are not blocked by this issue. An application can implement whatever logic it wants by constructing a cookie header before the call to dial.

There is a similar situation with subprotocols. It is an error to specify subprotocols in the dialer and the header.

Let’s wait for new maintainer to make call on the right approach. Applications are not blocked by current code.

[tebruno99]

I intend to replicate how the http package handles this situation, if the PR fits that implementation I'll merge. (Need to review)