If NSG_CLOSE_IMMEDIATELY is on, then the socket will be closed,
which means that (if the socket was added to either read_set or
write_set) the subsequent select will in turn be performed on a
socket that has been closed.

Standard socket implementations seem to ignore a descriptor
referring to a closed socket but LWIP
(http://savannah.nongnu.org/projects/lwip/) crashes. So better
not to add to the sets.