[RFC] Dont force ../.deps in third-party/CMakeLists.txt use the Makefile instead

- third-party is built under .deps by default instead of using its own
  ${CMAKE_BINARY_DIR}, move this default setting out of the cmake
  settings and into the Makefile.
- As a consequence the workflow of building third-party using CMake
  should feel more natural, avoid the additional folder or setting
  DEPS_DIR from the command line.
- This commit does not change the default behaviour when calling the
  Makefile wrapper.

i.e. to build deps in an alternative location just

    mkdir deps2 && cd deps2 && cmake ../third-party

instead of 

    mkdir deps2 && cd deps2 && cmake ../third-party -DDEPS_DIR=.


EDIT: Switched text to reflect new purpose.
I had a branch where I was heading down a similar path, but I didn't like having the same `DEPS_DIR` here, because it referred to `${CMAKE_CURRENT_SOURCE_DIR}/.deps` elsewhere.  Can we keep this as `DEPS_INSTALL_DIR`?

Also, can we do this instead:

```cmake
list(INSERT CMAKE_PREFIX_PATH 0 ${DEPS_INSTALL_DIR})
```

It's a separate fix, but it'll make sure our built dependencies get picked up ahead of others.