Delete extracted files to save disk space
As discussed with @stas00 and @lhoestq, allowing the deletion of extracted files would save a great amount of disk space to typical user.
My suggestion for this would be to have this enabled by default.

Plus I don't know if there should be a dedicated issue to that is another functionality. But I propose layered building rather than all at once. That is:

1. uncompress a handful of files via a generator enough to generate one arrow file
2. process arrow file 1
3. delete all the files that went in and aren't needed anymore.

rinse and repeat.

1. This way much less disc space will be required - e.g. on JZ we won't be running into inode limitation, also it'd help with the collaborative hub training project
2. The user doesn't need to go and manually clean up all the huge files that were left after pre-processing
3. It would already include deleting temp files this issue is talking about

I wonder if the new streaming API would be of help, except here the streaming would be into arrow files as the destination, rather than dataloaders.