TST/DOC: Add procedure for TestPickle
Added procedure to `TestPickle`. Based on #9291, I think updating `setup.py` is likely to be ommitted.

yep. Is there any way to have setup automatically pick up all of the directories under a tree in package_data ?
 @jreback Yeah it's better. Modified both `setup.py` and `test_pickle.py` to test all files under "legacy_pickle".
 OK. I understand that to make `nose` to find dynamically added test methods, we have to use test generators. Thus, I changed the `TestPickle` not to inherit `unittest.TestCase`. If there is a better way, please lmk.
http://stackoverflow.com/questions/6689537/nose-test-generators-inside-class

When execute the test, we will see:

```
__main__.TestPickle.test_pickles('0.10.1',) ... ok
__main__.TestPickle.test_pickles('0.11.0',) ... ok
__main__.TestPickle.test_pickles('0.12.0',) ... ok
__main__.TestPickle.test_pickles('0.13.0',) ... ok
__main__.TestPickle.test_pickles('0.14.0',) ... ok
__main__.TestPickle.test_pickles('0.14.1',) ... ok
__main__.TestPickle.test_pickles('0.15.0',) ... ok
__main__.TestPickle.test_pickles('0.15.2',) ... ok
__main__.TestPickle.test_round_trip_current ... ok

----------------------------------------------------------------------
Ran 9 tests in 1.359s

OK
```
 @sinhrks ok 

a possible 'soln' to this is to make make all of the methods in tm.TestCase (currently) into a MixIn (and include it there, so nothing changes). And then you can use the MixIn here.
 @jreback Based on #8923, better to use methods under `tm...` without creating mixin? I've modified test cases to use them.
 thanks for this!
