Merge pull request #18 from proxymesh/docs/python-readme-connect-note

docs: update Python README note and missing links

Author: proxymesh

README.md

@@ -51,16 +51,18 @@ python python/run_tests.py requests-proxy-headers httpx-proxy-headers
 | Library | Example | Description |
 |---------|---------|-------------|
 | [requests](https://docs.python-requests.org/) | [requests-proxy-headers.py](python/requests-proxy-headers.py) | Simple HTTP requests with proxy headers |
-| requests | [requests-proxy-headers-session.py](python/requests-proxy-headers-session.py) | Session-based requests for connection pooling |
+| [requests](https://docs.python-requests.org/) | [requests-proxy-headers-session.py](python/requests-proxy-headers-session.py) | Session-based requests for connection pooling |
 | [urllib3](https://urllib3.readthedocs.io/) | [urllib3-proxy-headers.py](python/urllib3-proxy-headers.py) | Low-level HTTP client with proxy headers |
 | [aiohttp](https://docs.aiohttp.org/) | [aiohttp-proxy-headers.py](python/aiohttp-proxy-headers.py) | Async HTTP client with proxy headers |
 | [httpx](https://www.python-httpx.org/) | [httpx-proxy-headers.py](python/httpx-proxy-headers.py) | Modern HTTP client with proxy headers |
-| httpx | [httpx-async-proxy-headers.py](python/httpx-async-proxy-headers.py) | Async httpx with proxy headers |
+| [httpx](https://www.python-httpx.org/) | [httpx-async-proxy-headers.py](python/httpx-async-proxy-headers.py) | Async httpx with proxy headers |
 | [pycurl](http://pycurl.io/) | [pycurl-proxy-headers.py](python/pycurl-proxy-headers.py) | libcurl bindings with proxy headers |
-| pycurl | [pycurl-proxy-headers-lowlevel.py](python/pycurl-proxy-headers-lowlevel.py) | Low-level pycurl integration |
+| [pycurl](http://pycurl.io/) | [pycurl-proxy-headers-lowlevel.py](python/pycurl-proxy-headers-lowlevel.py) | Low-level pycurl integration |
 | [cloudscraper](https://github.com/venomous/cloudscraper) | [cloudscraper-proxy-headers.py](python/cloudscraper-proxy-headers.py) | Cloudflare bypass with proxy headers |
 | [autoscraper](https://github.com/alirezamika/autoscraper) | [autoscraper-proxy-headers.py](python/autoscraper-proxy-headers.py) | Automatic web scraping with proxy headers |
 
+> **Note:** Most Python HTTP libraries do not expose custom headers on HTTPS `CONNECT` tunneling by default. These examples use [python-proxy-headers](https://github.com/proxymesh/python-proxy-headers) adapters to send proxy headers and read proxy response headers consistently.
+
 ### Basic Proxy Examples
 
 * [requests-proxy.py](python/requests-proxy.py) - Basic proxy usage with requests