Sets a socket to make outgoing connections on. This will override the default behaviour of opening TCP/IP sockets to the hosts specified in the URIs.
This function is not required for common HTTP usage, but only when connecting
to a HTTP service that is not using standard TCP/IP sockets. An example of
this is a local service that uses HTTP over UNIX-domain sockets, in that case
GUnixSocketAddress can be passed to this function.