Curl_slist_append_nodup() returns NULL when it fails to create a new
item for the specified list, and since the coding here reassigned the
new list on top of the old list it would result in a dangling pointer
and lost memory. Also, in case we hit an allocation failure at some
point during the conversion, with allocation succeeding again on the
subsequent call(s) we will return a truncated list around the malloc
failure point. Fix by assigning to a temporary list pointer, which can
be checked (which is the common pattern for slist appending), and free
all the resources on allocation failure.

Closes #3372
Reviewed-by: Daniel Stenberg <daniel@haxx.se>