Title: Error when downloading a large dataset on slow connection.
State: open

I receive the following error after about an hour trying to download the `openwebtext` dataset.

The code used is:
```python
import datasets
datasets.load_dataset("openwebtext")
```

> Traceback (most recent call last):                                                                                                                                                                                                                             [4/28]
>   File "<stdin>", line 1, in <module>
>   File "/home/lucadiliello/anaconda3/envs/nlp/lib/python3.7/site-packages/datasets/load.py", line 610, in load_dataset
>     ignore_verifications=ignore_verifications,
>   File "/home/lucadiliello/anaconda3/envs/nlp/lib/python3.7/site-packages/datasets/builder.py", line 515, in download_and_prepare
>     dl_manager=dl_manager, verify_infos=verify_infos, **download_and_prepare_kwargs
>   File "/home/lucadiliello/anaconda3/envs/nlp/lib/python3.7/site-packages/datasets/builder.py", line 570, in _download_and_prepare
>     split_generators = self._split_generators(dl_manager, **split_generators_kwargs)
>   File "/home/lucadiliello/.cache/huggingface/modules/datasets_modules/datasets/openwebtext/5c636399c7155da97c982d0d70ecdce30fbca66a4eb4fc768ad91f8331edac02/openwebtext.py", line 62, in _split_generators
>     dl_dir = dl_manager.download_and_extract(_URL)
>   File "/home/lucadiliello/anaconda3/envs/nlp/lib/python3.7/site-packages/datasets/utils/download_manager.py", line 254, in download_and_extract
>     return self.extract(self.download(url_or_urls))
>   File "/home/lucadiliello/anaconda3/envs/nlp/lib/python3.7/site-packages/datasets/utils/download_manager.py", line 235, in extract
>     num_proc=num_proc,
>   File "/home/lucadiliello/anaconda3/envs/nlp/lib/python3.7/site-packages/datasets/utils/py_utils.py", line 225, in map_nested
>     return function(data_struct)
>   File "/home/lucadiliello/anaconda3/envs/nlp/lib/python3.7/site-packages/datasets/utils/file_utils.py", line 343, in cached_path
>     tar_file.extractall(output_path_extracted)
>   File "/home/lucadiliello/anaconda3/envs/nlp/lib/python3.7/tarfile.py", line 2000, in extractall
>     numeric_owner=numeric_owner)
>   File "/home/lucadiliello/anaconda3/envs/nlp/lib/python3.7/tarfile.py", line 2042, in extract
>     numeric_owner=numeric_owner)
>   File "/home/lucadiliello/anaconda3/envs/nlp/lib/python3.7/tarfile.py", line 2112, in _extract_member
>     self.makefile(tarinfo, targetpath)
>   File "/home/lucadiliello/anaconda3/envs/nlp/lib/python3.7/tarfile.py", line 2161, in makefile
>     copyfileobj(source, target, tarinfo.size, ReadError, bufsize)
>   File "/home/lucadiliello/anaconda3/envs/nlp/lib/python3.7/tarfile.py", line 253, in copyfileobj
>     buf = src.read(remainder)
>   File "/home/lucadiliello/anaconda3/envs/nlp/lib/python3.7/lzma.py", line 200, in read
>     return self._buffer.read(size)
>   File "/home/lucadiliello/anaconda3/envs/nlp/lib/python3.7/_compression.py", line 68, in readinto
>     data = self.read(len(byte_view))
>   File "/home/lucadiliello/anaconda3/envs/nlp/lib/python3.7/_compression.py", line 99, in read
>     raise EOFError("Compressed file ended before the "
> EOFError: Compressed file ended before the end-of-stream marker was reached


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