Fix for GH 6885 - get_dummies chokes on unicode values
closes #6885

Please be gentle - this is the first time I've tried to contribute either to someone else's python project or another project on github, so if my python or git foo is lacking, I apologise in advance!

Note that the failed test wasn't related to my changes:

```
pandas.io.data.RemoteDataError: Parsed URL 'http://finance.yahoo.com/q/op?s=AAPL&m=2014-05' has no rootelement
```
 can you add a release note in Bug Fixes referecing this issue, otherwise looks good

@hayd @TomAugspurger  ok by you?
 The travis failure looked like an unrelated yahoo test. I restarted it on Travis (I think that's a new feature). We'll see if Github notices and updates with the results.
 Apologies for the stray print - I'll remove that and then add the edit in bugfixes
 @maxgrenderjones did you force push? (your old commit is still here)
 ping me when green
 Last code-changing build is green - don't know if travis bothers building if you just change docs.

Apologies that a 4 character change took four commits!
 merged via https://github.com/pydata/pandas/commit/7918d6000d3ccd5d19713698a47b429cecfe1c63

thanks!
