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Add guide on downloading files in parallel #415

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Add a new page to the user guide that provides instructions to download the same file by multiple processes that run in parallel, avoiding multiple downloads of the same file through the usage of lock files. Add filelock as a requirement for building the docs.

Relevant issues/PRs:

Inspired by #411

Add a new page to the user guide that provides instructions to download
the same file by multiple processes that run in parallel, avoiding
multiple downloads of the same file through the usage of lock files. Add
`filelock` as a requirement for building the docs.
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