docs: add label to socks heading

When trying to link via intersphinx, a label must be used.
Otherwise a full URL is required, which is less desirable.

Signed-off-by: Mike Fiedler <miketheman@gmail.com>

docs/user/advanced.rst

@@ -666,6 +666,8 @@ You override this default certificate bundle by setting the ``REQUESTS_CA_BUNDLE
     >>> import requests
     >>> requests.get('https://example.org')
 
+.. _socks:
+
 SOCKS
 ^^^^^