Failure to save with save_to_disk
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Hi thanks for reporting and for proposing a fix :)

I just merged a fix, feel free to try it from the master branch !
2021-02-22T14:23:21Z
https://github.com/huggingface/datasets/issues/1919#issuecomment-783410535
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MEMBER
Closing since this has been fixed by #1923
2021-03-03T17:40:27Z
https://github.com/huggingface/datasets/issues/1919#issuecomment-789923989
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When I try to save a dataset locally using the `save_to_disk` method I get the error:

```bash
FileNotFoundError: [Errno 2] No such file or directory: '/content/squad/train/squad-train.arrow'
```

To replicate:

1. Install `datasets` from master
2. Run this code:

    ```python
    from datasets import load_dataset
    squad = load_dataset("squad")   # or any other dataset
    squad.save_to_disk("squad")     # error here
    ```

The problem is that the method is not creating a directory with the name `dataset_path` for saving the dataset in (i.e. it's not creating the *train* and *validation* directories in this case). After creating the directory the problem resolves.
I'll open a PR soon doing that and linking this issue.
