Add documentation for requests.Session compatibility (#449)

docs/advanced.md

@@ -6,6 +6,8 @@ Using a Client instance to make requests will give you HTTP connection pooling,
 will provide cookie persistence, and allows you to apply configuration across
 all outgoing requests.
 
+A Client instance is equivalent to a Session instance in `requests`.
+
 ```python
 >>> client = httpx.Client()
 >>> r = client.get('https://example.org/')

docs/compatibility.md

@@ -17,5 +17,17 @@ but also provide lower-cased versions for API compatibility with `requests`.
 
 ## Advanced Usage
 
-!!! warning
-    TODO
+### requests.Session
+The HTTPX equivalent of `requests.Session` is `httpx.Client`.
+
+```python
+session = requests.Session(**kwargs)
+```
+
+is equivalent to
+
+```python
+client = httpx.Client(**kwargs)
+```
+
+More detailed documentation and usage of `Client` can be found in [Advanced Usage](advanced.md).