SQL: add index_label keyword to to_sql
Further work on #6292. While looking at possible multi-index support, I thought of first adding this:
- added ability to specify the used column name for the index column in `to_sql` (analoguous to `to_csv`). Good idea?
- I only did it for the new sqlalchemy function, not the legacy one. Only problem is that it starts from the same function call, so all keyword arguments have also to be added to the legacy `to_sql` (https://github.com/jorisvandenbossche/pandas/compare/sql-multiindex?expand=1#diff-b41f9fd042c423682f8e4c4d808dbe64R891) without using it. Is there a better approach? Should I warn that this is ignored if the user specifies this?
- added tests for it

to do:
- [x] should also change this in generic.py
- [ ] check for name conflicts (warn and suggest to use index_label?)

@mangecoeur

why don't you just have index accept a string / list / True

True means use the index name (raise if it is None)
string use this as the cindex label
list use if multiple cols (and raise if not a mi)

false / none are don't store index

instead of adding another kw
 I did that for consistency with `to_csv` (and `to_excel`)
 ok then!
didn't realize that
 should think about what to do if u have an unnamed column (I know you are defaulting it) but maybe should warn/raise? (I mean an unnamed index an no label is specified)
 What do you mean with an unnamed column?

Also, now `'pandas_index'` is used when the index has no name (and not just `'index'`). But maybe should also think about that. Is there any precedence somewhere in pandas? `df.reset_index()` just uses `'index'`.
 yep maybe need to do exactly like reset index
have to worry about name conflicts though (what if their is a column named index )
 The name conflicts is now also a problem (if you would have a column named `pandas_index`). It doesn't give an error, but the column is overwritten by the index if the names are the same. So maybe just raise a warning for this?
 yep

and I would name index
and level_0, etc for mi ( in fact u can just do a reset_index directly)
 My concern with using the name "index" is that it is not allowed as a column name in certain SQL flavors (this is a problem for other reserved keywords too). See for example http://dev.mysql.com/doc/refman/5.6/en/reserved-words.html

Note - i don't know if they make the distinction between lower case and upper case versions
 @mangecoeur Good concern (and sql mostly makes no distinction between lower and upper case, with some exceptions). 
But after some thinking about it, there are a lot of reserved keywords, so this could be a problem more in general. But the way this is dealt with, is by quoting those column names. For example a dataframe that I wrote to postgresql using `to_sql`, gets this description in postgresql:

```
CREATE TABLE test_column_keyword
(
  index integer,
  "select" integer,
  "Col2" double precision
)
```

So the `select` column is quoted because this is a reserved keyword, the `Col2` column is also quoted because it is mixed with uppercase (and because postgresql otherwise converts everything to lowercase, the column name will not be recognised/reserved), and the `index` column is not quoted as this is not a reserved keyword in postgresql (but it is in MySQL).

So for postgresql this is working, and I suppose other database systems will have a similar mechanism to deal with this kind of column names?
 OK, to move forward, I am going to merge this. In any case will also have to touch it again (the naming issue) when adding multi-index support. 
