[C++] Add an example of C++ middleware

As of writing, the C++ cookbooks for Flight don't have an example of using a custom middleware. A good guide to write could show how to use custom middlewares to send and receive arbitrary HTTP headers.

Related to: https://github.com/apache/arrow-cookbook/issues/170

Start by reviewing the existing C++ Flight cookbooks and the related issue at apache/arrow-cookbook#170. Add a guide showing custom middleware that sends and receives arbitrary HTTP headers; the example is done when both directions are demonstrated clearly.

Written by the indexing model from the issue text.