When used as lib, need to close the connection

[ewjoachim]

We're getting this error:

ResourceWarning: unclosed <socket.socket fd=10, family=AddressFamily.AF_INET, type=SocketKind.SOCK_STREAM, proto=6, laddr=('x.x.x.x', 53920), raddr=('x.x.x.x', 8200)>

The session should be available as a context manager, to ensure it's properly closed.