Add documentation linking to sqlalchemy (pandas-dev#29373)

Author: cruzzoe

pandas/core/generic.py

@@ -2596,7 +2596,11 @@ def to_sql(
             Name of SQL table.
         con : sqlalchemy.engine.Engine or sqlite3.Connection
             Using SQLAlchemy makes it possible to use any DB supported by that
-            library. Legacy support is provided for sqlite3.Connection objects.
+            library. Legacy support is provided for sqlite3.Connection objects. The user
+            is responsible for engine disposal and connection closure for the SQLAlchemy
+            connectable See `here \
+                <https://docs.sqlalchemy.org/en/13/core/connections.html>`_
+
         schema : str, optional
             Specify the schema (if database flavor supports this). If None, use
             default schema.

pandas/io/sql.py

@@ -361,7 +361,9 @@ def read_sql(
         or DBAPI2 connection (fallback mode)
 
         Using SQLAlchemy makes it possible to use any DB supported by that
-        library. If a DBAPI2 object, only sqlite3 is supported.
+        library. If a DBAPI2 object, only sqlite3 is supported. The user is responsible
+        for engine disposal and connection closure for the SQLAlchemy connectable. See
+        `here <https://docs.sqlalchemy.org/en/13/core/connections.html>`_
     index_col : string or list of strings, optional, default: None
         Column(s) to set as index(MultiIndex).
     coerce_float : boolean, default True