Allow to record and store requests+responses

[Colin-b]

First iteration on this feature should allow to discard a specified set of headers from the requests (defaulting to whatever might change in between runs, such as the agent)
First iteration will only allow storage as a file provided by a path.

[jonathan-s]

You are probably aware of it already, but in case you aren't; https://github.com/kevin1024/vcrpy/ has a good design regarding recording responses. So might be able to take inspiration from there.