test1509: verify proxy header response headers count

Modified sws to support and use custom CONNECT responses instead of the
previously naive hard-coded version. Made the HTTP test server able to
extract test case number from the host name in a CONNECT request by
finding the number after the last dot. It makes 'machine.moo.123' use
test case 123.

Adapted a larger amount of tests to the new <connect> style.

Bug: http://curl.haxx.se/bug/view.cgi?id=1204
Reported by: Martin Jansen