THRIFT-5165: THttpClient saves session cookie.
Client: py
Patch: Joao Antonio

This closes #2086
diff --git a/lib/py/src/transport/THttpClient.py b/lib/py/src/transport/THttpClient.py
index 37b0a4d..212da3a 100644
--- a/lib/py/src/transport/THttpClient.py
+++ b/lib/py/src/transport/THttpClient.py
@@ -185,3 +185,7 @@
         self.code = self.__http_response.status
         self.message = self.__http_response.reason
         self.headers = self.__http_response.msg
+
+        # Saves the cookie sent by the server response
+        if 'Set-Cookie' in self.headers:
+            self.__http.putheader('Cookie', self.headers['Set-Cookie'])