Embed image and audio files in `save_to_disk`
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Following https://github.com/huggingface/datasets/pull/4184, currently a dataset saved using `save_to_disk` doesn't actually contain the bytes of the image or audio files. Instead it stores the path to your local files. 

Adding `embed_external_files` and set it to True by default to save_to_disk would be kind of a breaking change since some users will get bigger Arrow files when updating the lib, but the advantages are nice:

- the resulting dataset is self contained, in case you want to delete your cache for example or share it with someone else
- users also upload these Arrow files to cloud storage via the fs parameter, and in this case they would expect to upload a self-contained dataset
- consistency with push_to_hub

This can be implemented at the same time as sharding for `save_to_disk` for efficiency, and reuse the helpers from `push_to_hub` to embed the external files.

cc @mariosasko 
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