fix multiprocessing too many open files

[piiswrong]

Description

(Brief description on what this PR is about)

Checklist

Essentials

• Passed code style checking (make lint)
• Changes are complete (i.e. I finished coding on this PR)
• All changes have test coverage
• For user-facing API changes, API doc string has been updated. For new C++ functions in header files, their functionalities and arguments are well-documented.
• To my best knowledge, examples are either not affected by this change, or have been fixed to be compatible with this change

Changes

• Feature1, tests, (and when applicable, API doc)
• Feature2, tests, (and when applicable, API doc)

Comments

• If this change is a backward incompatible change, why must this change be made.
• Interesting edge cases to note here

[bhavinthaker]

I have documented the following in the MXNet 1.0 Release Notes here: https://cwiki.apache.org/confluence/display/MXNET/Apache+MXNet+%28incubating%29+1.0+Release+Notes (see this Release notes for up-to-date information)

Problem: The data-loader has a file-descriptor leak when the number of files being opened exceeds the ulimit of the user session.
Workaround: Increase the ulimit of the user session or at the OS level using any of the following steps:
$ ulimit -n unlimited (to make the fd limit as unlimited), OR
$ ulimit -n 60000 (to make the fd limit as 60,000 files assuming you have around but less than 60,000 files to be opened) OR
$ echo 65535 > /proc/sys/fs/file-max (to increase the system-wide file limit) along with the ulimit command.
Further details: https://docs.oracle.com/cd/E19623-01/820-6168/file-descriptor-requirements.html