Support multiprocessing for download/extract nestedly
### Feature request

Current multiprocessing for download/extract is not done nestedly. For example, when processing SlimPajama, there is only 3 processes (for train/test/val), while there are many files inside these 3 folders

```
Downloading data files #0:   0%|          | 0/1 [00:00<?, ?obj/s]
Downloading data files #1:   0%|          | 0/1 [00:00<?, ?obj/s]
Downloading data files #2:   0%|          | 0/1 [00:00<?, ?obj/s]

Extracting data files #0:   0%|          | 0/1 [00:00<?, ?obj/s]
Extracting data files #1:   0%|          | 0/1 [00:00<?, ?obj/s][A
Extracting data files #2:   0%|          | 0/1 [00:00<?, ?obj/s][A[A
```

### Motivation

speedup dataset loading

### Your contribution

I can help test the feature