Support saving datasets with custom formatting
Requested in https://discuss.huggingface.co/t/using-set-transform-on-a-dataset-leads-to-an-exception/53036.

I am not sure if supporting this is the best idea for the following reasons:

>For this to work, we would have to pickle a custom transform, which means the transform and the objects it references need to be serializable. Also, deserializing these bytes would make `load_from_disk` unsafe, so I'm not sure this is a good idea. 

@lhoestq WDYT?
