Adding support for custom API URL for API Proxies

[ZanzyTHEbar]

It would be really nice if we could customize the OpenAI API URL so that we can support API Proxies for larger-scale or specific enterprise requirements.

For example, I currently use this: https://github.com/bricks-cloud/BricksLLM proxy to handle some other agents that have multiple users, however with agency_swarm I cannot do this :)

[ZanzyTHEbar]

EDIT: I went through the source-code line by line, and I was wrong. I see that we can set_openai_client at any point and this will override the default client. Due to this, we can customize the OpenAI client with the standard base_url member and enable proxies. This is great news :)