:sparkles: feat: add option to save additional headers when recording

[iamrajjoshi]

What type of PR is this? (check all applicable)

• [ ] Refactor
• [x] Feature
• [ ] Bug Fix
• [ ] Optimization
• [ ] Documentation Update
• [ ] Other

Description

Add the ability to record additional headers when recording responses.

Before I make changes to README.md and CHANGES, want to first make sure there is appetite for this.

Related Issues

• Closes #763

PR checklist

Before submitting this pull request, I have done the following:

• [x] Read the contributing guidelines
• [ ] Ran tox and pre-commit checks locally
• [ ] Added my changes to the CHANGES file

Added/updated tests?

Current repository has 100% test coverage.

• [x] Yes
• [ ] No, and this is why:
• [ ] I need help with writing tests