Migration leaves out foreign key constraint
As far as I know sqlite doesn't support adding constraints. Can you try executing the equivalent alter table query and see what happens? Sure thing. It looks like `ALTER TABLE` works with the `ON DELETE` clause:

```
~/dev$ sqlite3 testdb
SQLite version 3.19.3 2017-06-27 16:48:08
Enter ".help" for usage hints.
sqlite> PRAGMA foreign_keys = ON;
sqlite>
sqlite> CREATE TABLE IF NOT EXISTS "table" (
   ...>    id INTEGER PRIMARY KEY AUTOINCREMENT
   ...> );
sqlite>
sqlite> ALTER TABLE "table" ADD COLUMN "fk" INTEGER REFERENCES "table"(id) ON DELETE SET NULL;
sqlite>
sqlite> .schema table
CREATE TABLE IF NOT EXISTS "table" (
   id INTEGER PRIMARY KEY AUTOINCREMENT
, "fk" INTEGER REFERENCES "table"(id) ON DELETE SET NULL);
sqlite>
```

 I believe this should be fixed in 449450d738a8c8f2893e5309d03d03bc249e9d7e Added test-case which shows the "ON DELETE" bits are being carried-over into the migration. Thanks for reporting. Thanks @coleifer. I've tested on master and it's working correctly now 👍
When adding a foreign key column using `playhouse.migrate`, the foreign key constraint is missing from the updated table schema. Here's some test code:

## 1. Create a test table with a working foreign key
```
# Using peewee==3.2.2

import peewee
from playhouse import migrate

database = peewee.SqliteDatabase('testdb')
database.connect()

class Table(peewee.Model):
    old_foreign_key = peewee.ForeignKeyField('self', null=True, on_delete='SET NULL')
    class Meta:
        database = database

database.create_tables([
    Table
], safe=True)

database.close()
```

## 2. Add a foreign key to the test table

```
my_db = migrate.SqliteDatabase('testdb')
migrator = migrate.SqliteMigrator(my_db)

with my_db.transaction():
    field = migrate.ForeignKeyField(
        Table, field=Table.id, null=True, on_delete='SET NULL')
    migrate.migrate(
        migrator.add_column('table', 'new_foreign_key', field)
    )

migrator.database.close()
```

## Results

Foreign key constraint is missing for the `new_foreign_key`. Expecting a `FOREIGN KEY ("new_foreign_key_id") REFERENCES "table" ("id") ON DELETE SET NULL)` clause.

<img width="682" alt="screen shot 2018-04-11 at 3 52 43 pm" src="https://user-images.githubusercontent.com/16357/38647310-740cc2ae-3da0-11e8-8c03-30fee5c0f1be.png">
