Feature request: make get_dummies() better usable for data frames with multi-index columns
#### Feature request

The post is derived from my post on SO: https://stackoverflow.com/questions/56352100

`get_dummies()` treats data frames with multi-index columns pretty clumsily: The multi-index tuple is converted into a string and the same suffix mechanism applies as with the simple-index columns.

```python
df = pd.DataFrame({('i','A'): ['a', 'b', 'a'], 
                   ('ii','B'): ['b', 'a', 'c']})
ret = pd.get_dummies(df)
print(ret)
print(type(ret.columns[0]))
#    ('i','A')_a  ('i','A')_b  ('ii','B')_a  ('ii','B')_b  ('ii','B')_c
# 0            1            0             0             1             0
# 1            0            1             1             0             0
# 2            1            0             0             0             1
#
# str
```

What I would expect, however, is that `get_dummies()` (optionally) creates a new column level, rather than applying the post-fixes on the columns, which is fine for single-index headers.
```
ret = pd.get_dummies(df, ???)
print(ret)
print(type(ret.columns[0]))

#    i    ii
#    A     B
#    a  b  a  b  c
# 0  1  0  0  1  0
# 1  0  1  1  0  0
# 2  1  0  0  0  1
```

Possibly, the feature can be implemented by expanding [`_make_col_name` (reshape.py)](https://github.com/pandas-dev/pandas/blob/93a67dbbb6f8adad0061eaa21a046ba44e297957/pandas/core/reshape/reshape.py#L909).