Support interceptors

[GuyStone]

Feature Request

Description

• Support adding interceptors into OkHttp client, allowing users to customize and extend its behavior.
• Reference: OkHttp Interceptors

Use case

• The interceptor mechanism provides a flexible way to modify requests and responses, enabling various enhancements such as logging, authentication, and request modification.
• For organizations and teams using this library, interceptors offer a standardised approach to extending functionality while maintaining consistency across implementations.

[TomerAberbach]

We will eventually support interceptors, but for now you can "bring your own client" by copy/pasting this implementation of our HttpClient interface, making whatever changes you want (e.g. adding interceptors), and constructor an instance of the OpenAIClient (like here)

[TomerAberbach]

We now have documentation for this workaround btw: https://github.com/openai/openai-java#custom-http-client