Convert run_demo.py into tests and documentation

[gschneider-r7]

The run_demo.py script is useful for testing things out with a real console, but it would be more valuable to have replay data to use for testing. We should also add documentation (sphinx or github wiki) explaining how to use the library features since the demo script is where most people are going to look for "how to" info currently.

Use something like https://github.com/kevin1024/vcrpy to record and replay (sanitized) requests and responses, and add test coverage that can be run by py.test.