title: Pandas setting multi-index on rows, then transposing to columns
body: <p>If I have a simple dataframe:</p>
  
  <pre><code>print(a)
  
    one  two three
  0   A    1     a
  1   A    2     b
  2   B    1     c
  3   B    2     d
  4   C    1     e
  5   C    2     f
  </code></pre>
  
  <p>I can easily create a multi-index on the rows by issuing:</p>
  
  <pre><code>a.set_index(['one', 'two'])
  
          three
  one two      
  A   1       a
      2       b
  B   1       c
      2       d
  C   1       e
      2       f
  </code></pre>
  
  <p>Is there a similarly easy way to create a multi-index on the columns?</p>
  
  <p>I'd like to end up with:</p>
  
  <pre><code>    one A       B       C   
      two 1   2   1   2   1   2
      0   a   b   c   d   e   f
  </code></pre>
  
  <p>In this case, it would be pretty simple to create the row multi-index and then transpose it, but in other examples, I'll be wanting to create a multi-index on both the rows and columns.</p>