Ensure each header compiles on its own

[springmeyer]

By ensuring each header compiles on its own, we're able to insure we are "including what we use". I noticed that libosium from @joto has nice trick for doing this: https://github.com/osmcode/libosmium/blob/28c676054064c6b75204f0981c21fb3e265c9319/CMakeLists.txt#L386-L421.

We should apply that here to catch instances where we are missing includes (and therefore depending inadvertently on includes including other includes which may not be the same per platform).