Title: Automatically create `cache_dir` from `cache_file_name`
State: closed

You get a pretty unhelpful error message when specifying a `cache_file_name` in a directory that doesn't exist, e.g. `cache_file_name="./cache/data.map"`

```python
import datasets

cache_file_name="./cache/train.map"
dataset = datasets.load_dataset("ylecun/mnist")
dataset["train"].map(lambda x: x, cache_file_name=cache_file_name)
```

```
FileNotFoundError: [Errno 2] No such file or directory: '/.../cache/tmp48r61siw'
```

It is simple enough to create and I was expecting that this would have been the case.

cc: @albertvillanova @lhoestq 

Comments:
Hi @albertvillanova, is this PR looking okay to you? Anything else you'd like to see?

The docs for this PR live [here](https://moon-ci-docs.huggingface.co/docs/datasets/pr_7096). All of your documentation changes will be reflected on that endpoint. The docs are available until 30 days after the last update.

<details>
<summary>Show benchmarks</summary>

PyArrow==8.0.0

<details>
<summary>Show updated benchmarks!</summary>

### Benchmark: benchmark_array_xd.json

| metric | read_batch_formatted_as_numpy after write_array2d | read_batch_formatted_as_numpy after write_flattened_sequence | read_batch_formatted_as_numpy after write_nested_sequence | read_batch_unformated after write_array2d | read_batch_unformated after write_flattened_sequence | read_batch_unformated after write_nested_sequence | read_col_formatted_as_numpy after write_array2d | read_col_formatted_as_numpy after write_flattened_sequence | read_col_formatted_as_numpy after write_nested_sequence | read_col_unformated after write_array2d | read_col_unformated after write_flattened_sequence | read_col_unformated after write_nested_sequence | read_formatted_as_numpy after write_array2d | read_formatted_as_numpy after write_flattened_sequence | read_formatted_as_numpy after write_nested_sequence | read_unformated after write_array2d | read_unformated after write_flattened_sequence | read_unformated after write_nested_sequence | write_array2d | write_flattened_sequence | write_nested_sequence |
|--------|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| new / old (diff) | 0.005278 / 0.011353 (-0.006075) | 0.003536 / 0.011008 (-0.007472) | 0.062604 / 0.038508 (0.024096) | 0.030704 / 0.023109 (0.007595) | 0.242178 / 0.275898 (-0.033720) | 0.264335 / 0.323480 (-0.059145) | 0.004118 / 0.007986 (-0.003868) | 0.002789 / 0.004328 (-0.001539) | 0.048813 / 0.004250 (0.044563) | 0.041787 / 0.037052 (0.004735) | 0.252369 / 0.258489 (-0.006120) | 0.280981 / 0.293841 (-0.012859) | 0.029646 / 0.128546 (-0.098900) | 0.012093 / 0.075646 (-0.063553) | 0.203036 / 0.419271 (-0.216235) | 0.035814 / 0.043533 (-0.007719) | 0.248929 / 0.255139 (-0.006210) | 0.266568 / 0.283200 (-0.016632) | 0.018761 / 0.141683 (-0.122922) | 1.188443 / 1.452155 (-0.263712) | 1.219324 / 1.492716 (-0.273392) |

### Benchmark: benchmark_getitem\_100B.json

| metric | get_batch_of\_1024\_random_rows | get_batch_of\_1024\_rows | get_first_row | get_last_row |
|--------|---|---|---|---|
| new / old (diff) | 0.095256 / 0.018006 (0.077250) | 0.301069 / 0.000490 (0.300579) | 0.000219 / 0.000200 (0.000019) | 0.000054 / 0.000054 (-0.000001) |

### Benchmark: benchmark_indices_mapping.json

| metric | select | shard | shuffle | sort | train_test_split |
|--------|---|---|---|---|---|
| new / old (diff) | 0.018541 / 0.037411 (-0.018870) | 0.067333 / 0.014526 (0.052807) | 0.075483 / 0.176557 (-0.101073) | 0.121301 / 0.737135 (-0.615834) | 0.076924 / 0.296338 (-0.219414) |

### Benchmark: benchmark_iterating.json

| metric | read 5000 | read 50000 | read_batch 50000 10 | read_batch 50000 100 | read_batch 50000 1000 | read_formatted numpy 5000 | read_formatted pandas 5000 | read_formatted tensorflow 5000 | read_formatted torch 5000 | read_formatted_batch numpy 5000 10 | read_formatted_batch numpy 5000 1000 | shuffled read 5000 | shuffled read 50000 | shuffled read_batch 50000 10 | shuffled read_batch 50000 100 | shuffled read_batch 50000 1000 | shuffled read_formatted numpy 5000 | shuffled read_formatted_batch numpy 5000 10 | shuffled read_formatted_batch numpy 5000 1000 |
|--------|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| new / old (diff) | 0.284722 / 0.215209 (0.069513) | 2.817656 / 2.077655 (0.740001) | 1.483827 / 1.504120 (-0.020293) | 1.363072 / 1.541195 (-0.178123) | 1.380472 / 1.468490 (-0.088018) | 0.739543 / 4.584777 (-3.845234) | 2.390699 / 3.745712 (-1.355013) | 2.980347 / 5.269862 (-2.289515) | 1.897881 / 4.565676 (-2.667795) | 0.078827 / 0.424275 (-0.345448) | 0.005193 / 0.007607 (-0.002414) | 0.342739 / 0.226044 (0.116695) | 3.370871 / 2.268929 (1.101942) | 1.846475 / 55.444624 (-53.598150) | 1.577860 / 6.876477 (-5.298617) | 1.628606 / 2.142072 (-0.513466) | 0.815686 / 4.805227 (-3.989541) | 0.134985 / 6.500664 (-6.365679) | 0.042330 / 0.075469 (-0.033139) |

### Benchmark: benchmark_map_filter.json

| metric | filter | map fast-tokenizer batched | map identity | map identity batched | map no-op batched | map no-op batched numpy | map no-op batched pandas | map no-op batched pytorch | map no-op batched tensorflow |
|--------|---|---|---|---|---|---|---|---|---|
| new / old (diff) | 0.962530 / 1.841788 (-0.879258) | 11.271449 / 8.074308 (3.197141) | 9.615452 / 10.191392 (-0.575940) | 0.140322 / 0.680424 (-0.540101) | 0.014057 / 0.534201 (-0.520144) | 0.306212 / 0.579283 (-0.273071) | 0.266758 / 0.434364 (-0.167606) | 0.341229 / 0.540337 (-0.199108) | 0.428974 / 1.386936 (-0.957962) |

</details>
PyArrow==latest

<details>
<summary>Show updated benchmarks!</summary>

### Benchmark: benchmark_array_xd.json

| metric | read_batch_formatted_as_numpy after write_array2d | read_batch_formatted_as_numpy after write_flattened_sequence | read_batch_formatted_as_numpy after write_nested_sequence | read_batch_unformated after write_array2d | read_batch_unformated after write_flattened_sequence | read_batch_unformated after write_nested_sequence | read_col_formatted_as_numpy after write_array2d | read_col_formatted_as_numpy after write_flattened_sequence | read_col_formatted_as_numpy after write_nested_sequence | read_col_unformated after write_array2d | read_col_unformated after write_flattened_sequence | read_col_unformated after write_nested_sequence | read_formatted_as_numpy after write_array2d | read_formatted_as_numpy after write_flattened_sequence | read_formatted_as_numpy after write_nested_sequence | read_unformated after write_array2d | read_unformated after write_flattened_sequence | read_unformated after write_nested_sequence | write_array2d | write_flattened_sequence | write_nested_sequence |
|--------|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| new / old (diff) | 0.005980 / 0.011353 (-0.005373) | 0.003831 / 0.011008 (-0.007177) | 0.049837 / 0.038508 (0.011329) | 0.030602 / 0.023109 (0.007493) | 0.274107 / 0.275898 (-0.001791) | 0.298175 / 0.323480 (-0.025305) | 0.004492 / 0.007986 (-0.003494) | 0.002840 / 0.004328 (-0.001489) | 0.048984 / 0.004250 (0.044733) | 0.040001 / 0.037052 (0.002949) | 0.286130 / 0.258489 (0.027641) | 0.321546 / 0.293841 (0.027705) | 0.032675 / 0.128546 (-0.095871) | 0.012222 / 0.075646 (-0.063424) | 0.060321 / 0.419271 (-0.358950) | 0.034456 / 0.043533 (-0.009077) | 0.272408 / 0.255139 (0.017269) | 0.294714 / 0.283200 (0.011515) | 0.018568 / 0.141683 (-0.123115) | 1.169826 / 1.452155 (-0.282329) | 1.223906 / 1.492716 (-0.268810) |

### Benchmark: benchmark_getitem\_100B.json

| metric | get_batch_of\_1024\_random_rows | get_batch_of\_1024\_rows | get_first_row | get_last_row |
|--------|---|---|---|---|
| new / old (diff) | 0.093734 / 0.018006 (0.075727) | 0.305915 / 0.000490 (0.305425) | 0.000210 / 0.000200 (0.000010) | 0.000052 / 0.000054 (-0.000003) |

### Benchmark: benchmark_indices_mapping.json

| metric | select | shard | shuffle | sort | train_test_split |
|--------|---|---|---|---|---|
| new / old (diff) | 0.022389 / 0.037411 (-0.015022) | 0.076640 / 0.014526 (0.062114) | 0.088660 / 0.176557 (-0.087897) | 0.128998 / 0.737135 (-0.608137) | 0.090346 / 0.296338 (-0.205992) |

### Benchmark: benchmark_iterating.json

| metric | read 5000 | read 50000 | read_batch 50000 10 | read_batch 50000 100 | read_batch 50000 1000 | read_formatted numpy 5000 | read_formatted pandas 5000 | read_formatted tensorflow 5000 | read_formatted torch 5000 | read_formatted_batch numpy 5000 10 | read_formatted_batch numpy 5000 1000 | shuffled read 5000 | shuffled read 50000 | shuffled read_batch 50000 10 | shuffled read_batch 50000 100 | shuffled read_batch 50000 1000 | shuffled read_formatted numpy 5000 | shuffled read_formatted_batch numpy 5000 10 | shuffled read_formatted_batch numpy 5000 1000 |
|--------|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| new / old (diff) | 0.291642 / 0.215209 (0.076433) | 2.897270 / 2.077655 (0.819615) | 1.571564 / 1.504120 (0.067444) | 1.449533 / 1.541195 (-0.091662) | 1.458744 / 1.468490 (-0.009746) | 0.725465 / 4.584777 (-3.859312) | 0.962597 / 3.745712 (-2.783115) | 3.035056 / 5.269862 (-2.234806) | 1.902542 / 4.565676 (-2.663135) | 0.079869 / 0.424275 (-0.344407) | 0.005172 / 0.007607 (-0.002435) | 0.352099 / 0.226044 (0.126055) | 3.469058 / 2.268929 (1.200129) | 1.953402 / 55.444624 (-53.491222) | 1.647182 / 6.876477 (-5.229294) | 1.686473 / 2.142072 (-0.455599) | 0.797218 / 4.805227 (-4.008009) | 0.134161 / 6.500664 (-6.366503) | 0.041563 / 0.075469 (-0.033906) |

### Benchmark: benchmark_map_filter.json

| metric | filter | map fast-tokenizer batched | map identity | map identity batched | map no-op batched | map no-op batched numpy | map no-op batched pandas | map no-op batched pytorch | map no-op batched tensorflow |
|--------|---|---|---|---|---|---|---|---|---|
| new / old (diff) | 1.045855 / 1.841788 (-0.795933) | 12.271390 / 8.074308 (4.197082) | 10.186889 / 10.191392 (-0.004503) | 0.141141 / 0.680424 (-0.539283) | 0.015482 / 0.534201 (-0.518719) | 0.305699 / 0.579283 (-0.273584) | 0.128539 / 0.434364 (-0.305825) | 0.348492 / 0.540337 (-0.191845) | 0.444867 / 1.386936 (-0.942069) |

</details>
</details>

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