Added note regarding setting sockopt before bind/connect

Signed-off-by: Michael Compton <michael.compton@littleedge.co.uk>

AUTHORS

@@ -39,6 +39,7 @@ Martin Sustrik <sustrik@250bpm.com>
 Matus Hamorsky <mhamorsky@gmail.com>
 Max Wolf <YIDIEPXGXGPN@spammotel.com>
 McClain Looney <m@loonsoft.com>
+Michael Compton <michael.compton@littleedge.co.uk>
 Mikael Helbo Kjaer <mhk@designtech.dk>
 Mikko Koppanen <mkoppanen@php.net>
 Min Ragan-Kelley <benjaminrk@gmail.com>

doc/zmq_setsockopt.txt

@@ -12,6 +12,7 @@ SYNOPSIS
 --------
 *int zmq_setsockopt (void '*socket', int 'option_name', const void '*option_value', size_t 'option_len');*
 
+Caution: All options, with the exception of subscription strings, only take effect for subsequent socket bind/connects.
 
 DESCRIPTION
 -----------