Features.load_from_perbag: don't open too many files

It turns out that when you np.load() a '.npz' file, it leaves the file
object open so you can lazy-load. Moreover, until recently
(https://github.com/numpy/numpy/pull/203), there was a reference cycle,
so the files wouldn't even be closed until the full GC came around
(rather than being closed by ref-counting). So, explicitly close the
files as we load them.