concatenate_datasets loads all the data into memory
Thanks for the insights @mariosasko ! I'm working on a fix.
Since this is a big issue I'll make a patch release as soon as this is fixed
## Describe the bug
When I try to concatenate 2 datasets (10GB each) , the entire data is loaded into memory instead of being written directly to disk.

Interestingly, this happens when trying to save the new dataset to disk or concatenating it again.

![image](https://user-images.githubusercontent.com/7063207/116420321-2b21b480-a83e-11eb-9006-8f6ca729fb6f.png)


## Steps to reproduce the bug
```python
from datasets import concatenate_datasets, load_from_disk

test_sampled_pro = load_from_disk("test_sampled_pro")
val_sampled_pro = load_from_disk("val_sampled_pro")

big_set = concatenate_datasets([test_sampled_pro, val_sampled_pro])

# Loaded to memory
big_set.save_to_disk("big_set")

# Loaded to memory
big_set = concatenate_datasets([big_set, val_sampled_pro])
```

## Expected results
The data should be loaded into memory in batches and then saved directly to disk.

## Actual results
The entire data set is loaded into the memory and then saved to the hard disk.

## Versions
Paste the output of the following code:
```python
- Datasets: 1.6.1
- Python: 3.8.8 (default, Apr 13 2021, 19:58:26) 
[GCC 7.3.0]
- Platform: Linux-5.4.72-microsoft-standard-WSL2-x86_64-with-glibc2.10
```

concatenate_datasets loads all the data into memory 
 ## Describe the bug
When I try to concatenate 2 datasets (10GB each) , the entire data is loaded into memory instead of being written directly to disk.

Interestingly, this happens when trying to save the new dataset to disk or concatenating it again.

![image](https://user-images.githubusercontent.com/7063207/116420321-2b21b480-a83e-11eb-9006-8f6ca729fb6f.png)


## Steps to reproduce the bug
```python
from datasets import concatenate_datasets, load_from_disk

test_sampled_pro = load_from_disk("test_sampled_pro")
val_sampled_pro = load_from_disk("val_sampled_pro")

big_set = concatenate_datasets([test_sampled_pro, val_sampled_pro])

# Loaded to memory
big_set.save_to_disk("big_set")

# Loaded to memory
big_set = concatenate_datasets([big_set, val_sampled_pro])
```

## Expected results
The data should be loaded into memory in batches and then saved directly to disk.

## Actual results
The entire data set is loaded into the memory and then saved to the hard disk.

## Versions
Paste the output of the following code:
```python
- Datasets: 1.6.1
- Python: 3.8.8 (default, Apr 13 2021, 19:58:26) 
[GCC 7.3.0]
- Platform: Linux-5.4.72-microsoft-standard-WSL2-x86_64-with-glibc2.10
```
 
 Thanks for the insights @mariosasko ! I'm working on a fix.
Since this is a big issue I'll make a patch release as soon as this is fixed