Add documentation for the tsh config file

[lxea]

tsh config file support was added here: #10336

The following syntax is supported

add_headers:
  - proxy: "*.example.com"
    headers:
      foo: bar
  - proxy: us-west-1.example.com
    headers:
      baz: qux

[ptgott]

I think it would be great to include an example of when you would use custom HTTP headers in Proxy requests. For example, we could talk about the use case of sending traffic through intermediary proxies that require opaque auth tokens in HTTP headers (https://github.com/gravitational/teleport/pull/9475/files).

Otherwise, users may not know whether this config file is useful for their setup.

Also, are there any values of headers that users should avoid?

[lxea]

Also, are there any values of headers that users should avoid?

I'm not aware of any, there doesnt seem to be anything else modifying headers in the webclient code either, so I think all values should be okay

[r0mant]

lgtm with a couple suggestions.

[ptgott]

Approved with two minor comments