Fixes for exceptions in Session.request leading to sockets not properly closed #205

…exiting the method without the created socket being owned by a response or closed. This would then cause future calls to get a socket with the same parameters to fail because one already existed and hadn't been closed. The PR adafruit#72 fixed this issue for one case where an exception could be raised. This generalizes that in an attempt to fix it in other cases that could still be hit.