[Feature]: Add session persistence for OpenAI provider

[noahlwest]

#443 added session persistence for Gemini, but other providers were left unimplemented.

We should add similar implementation of Initialize() to load chat history for OpenAI provider. This can happen in gollm/openai.go and will likely follow a similar flow to Gemini, where we convert api messages to the provider-specific messages and add them to the history.

Adding tests is also very welcomed. Basic flows like saving and loading sessions, creating a new session, deleting a session, and listing sessions should be covered. Edge cases like invalid session ID and corrupted save file should also be covered.

[ah-tonmoy]

Picking it up !

[nisranjan]

I already picked these up as part of #461, just added a commit see below
If u need this to work for you or as part of something that you needed, pls give it a try
If u feel that this is not good enough, u can add comments and I will make changes

[nisranjan]

@noahlwest #497 covers this request, please add your comments here in case there are things missing from this.