Integrate Polars library
If possible, a neat API could be something like `Dataset.to_polars()`, as well as `Dataset.set_format("polars")` Note they use a "custom" implementation of Arrow: [Arrow2](https://github.com/jorgecarleitao/arrow2).
Check potential integration of the Polars library: https://github.com/pola-rs/polars
- Benchmark: https://h2oai.github.io/db-benchmark/

CC: @thomwolf @lewtun 
