Switch to using a Session object for HTTP requests

[johnwmillr]

Copied from issue on tejassharma96's repository.

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I propose switching to a Session object from the requests library for the package's HTTP requests. We're currently opening a new connection to the same host for each request. Making this switch would allow some parameters to persist between a users's requests, which may be friendlier to the Pitchfork server.

I'd be able to handle the switch over to the requests library, but I'll try to think some more first on whether it really makes sense to make the change.