Add support for intermediate output to a local directory in local mode.

[nadiaya]

Add support for intermediate output to a local directory in local mode.

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[iquintero]

Lets discuss this offline, this I believe is not the proper way to do this.

[codecov-io]

Codecov Report

Merging #524 into master will increase coverage by <.01%.
The diff coverage is 100%.

@@            Coverage Diff             @@
##           master     #524      +/-   ##
==========================================
+ Coverage    92.7%   92.71%   +<.01%     
==========================================
  Files          71       71              
  Lines        5336     5342       +6     
==========================================
+ Hits         4947     4953       +6     
  Misses        389      389

Impacted Files	Coverage Δ
src/sagemaker/local/image.py	87.98% <100%> (+0.22%)	⬆️

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[iquintero]

Discussed Offline. This is a different scenario in which the intermediate files should be available as training is happening not at the end.