Socket client and server should behave as other Services

https://github.com/tendermint/abci/pull/78#pullrequestreview-36356364

let's pull the `Start` method out.

```
_, err := cli.Start() // Just start it, it's confusing for callers to remember to start.

Is it confusing?
yes

Do any of our other services do that
no

its a Service, you're expected to start it
```