Replace 'tempfile.mkdtemp' with 'tempfile.TemporaryDirectory'.

[greschd]

The tempfile.mkdtemp() is used in many places in the code to create a temporary directory, that is later cleaned up manually (e.g. with shutil.rmtree). The drawback of this is that the cleanup will not happen if execution is somehow interruped.

By using tempfile.TemporaryDirectory() instead (even when a context manager cannot be used), cleanup will happen when the garbage collector picks up the object. The "manual" cleanup should still be kept, as calling the .cleanup() method - because the garbage collector doesn't run at predictable intervals.

See comment by @ltalirz in #4220 (comment)_

[sphuber]

Note that when this concerns tests, written for pytest, they should even probably use the tmpdir or tmp_path builtin fixtures