[docs]: update building modules section to reflect ADR31

[blushi]

Description

closes: #7660

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Before we can merge this PR, please make sure that all the following items have been
checked off. If any of the checklist items are not applicable, please leave them but
write a little note why.

• Targeted PR against correct branch (see CONTRIBUTING.md)
• Linked to Github issue with discussion and accepted design OR link to spec that describes this work.
• Code follows the module structure standards.
• Wrote unit and integration tests
• Updated relevant documentation (docs/) or specification (x/<module>/spec/)
• Added relevant godoc comments.
• Added a relevant changelog entry to the Unreleased section in CHANGELOG.md
• Re-reviewed Files changed in the Github PR explorer
• Review Codecov Report in the comment section below once CI passes

[codecov]

Codecov Report

Merging #7702 (fdc22e7) into master (03c8fb3) will not change coverage.
The diff coverage is n/a.

@@           Coverage Diff           @@
##           master    #7702   +/-   ##
=======================================
  Coverage   54.17%   54.17%           
=======================================
  Files         612      612           
  Lines       39047    39047           
=======================================
  Hits        21153    21153           
  Misses      15719    15719           
  Partials     2175     2175           

[robert-zaremba]

I added few suggestions

[amaury1093]

Shouldn't we just link to local code in the repo?

Created #7929

most issues addressed & linking to local code tackled in #7929