In urllib2 when using reusing a Request calling add_header doesn't work
when an unredirected_header has been added. 

A good example (and the one that caught me out) is content-type. When
making a POST request with no content-type set the current code sets the
content-type as an unredirected_header to
'application/x-www-form-urlencoded' (line 1034 of urllib2.py) but in a
subsequent request, setting the content type via add_header will see
this ignored as unredirected_headers are appended after the headers.

A possible solution is to check whether the header being added already
exists in the requests undredirected_headers and remove it if it does.