BF(BK): cleanup tempdir in EmbeddedSphinxShell atexit

my testing server's /tmp was filling up with /tmp/profile_ directories left by statsmodels, pandas, etc  I guess due to this extension.  Unfortunately this fix (remove tempdir upon exit) has side-effect which experts might need to resolve properly anyways:

```
$> PYTHONPATH=$PWD python -c 'from IPython.sphinxext.ipython_directive import EmbeddedSphinxShell as ESS; _ = ESS(); '                                
Error in atexit._run_exitfuncs:
Traceback (most recent call last):
  File "/usr/lib/python2.7/atexit.py", line 24, in _run_exitfuncs
    func(*targs, **kargs)
  File "IPython/core/interactiveshell.py", line 3368, in atexit_operations
    self.history_manager.end_session()
  File "IPython/core/history.py", line 540, in end_session
    len(self.input_hist_parsed)-1, self.session_number))
OperationalError: attempt to write a readonly database
Error in sys.exitfunc:
Traceback (most recent call last):
  File "/usr/lib/python2.7/atexit.py", line 24, in _run_exitfuncs
    func(*targs, **kargs)
  File "IPython/core/interactiveshell.py", line 3368, in atexit_operations
    self.history_manager.end_session()
  File "IPython/core/history.py", line 540, in end_session
    len(self.input_hist_parsed)-1, self.session_number))
sqlite3.OperationalError: attempt to write a readonly database
```
> because it was never assigned to self.? ;)

Ah, silly me, seem so obvious that it would be a instance variable, that i could have swear reading the self. 



> Just bless me for that or do it yourself ;)

Sure, please assign to self this part of the code is something like 3 year old, so it can probably be written in a better way !