ENH: sort=bool keyword argument for index.difference
I often want to remove certain elements from an index while retaining the original ordering of the index. For this reason a sort keyword in the ``index.difference`` method would be required:

```
In: index = pd.Index([0, 1, 2, 4, 3])
In: index.difference({1, 2})
Out: Int64Index([0, 3, 4], dtype='int64')
# It would be cool to have instead
In: index.difference({1, 2}, sort=False)
Out: Int64Index([0, 4, 3], dtype='int64')
```

I think that this usecase appears frequently and setting the default to ``sort=True`` doesn't affect existing code.