[Python] Support building libarrow (C++) automatically as part of the Python package

[mgorny]

Describe the enhancement requested

Currently, building pyarrow from source requires building and installing the C++ library first. This can be a bit of inconvenience since it requires additional steps outside the standard Python package build process if we wish to build both the C++ and Python library simultaneously.

I'd like to propose adding a new option to enable building the C++ library as part of the Python build. While this would admittedly still require some system dependencies, it would make it easier to build matching versions of Arrow C++ and Python libraries in a single step, using a tool such as pip or build.

I would like to attempt making a pull request for this.

Component(s)

Python

[mgorny]

I explored two options so far:

1. Using ExternalProject in CMake — it doesn't seem feasible since the C++ build isn't configured before the build step, and I don't see any way of replacing find_package(Arrow) that wouldn't add a significant maintenance burden.
2. Using add_subdirectory in CMake — in my opinion it would require intrusive changes to libarrow build, and future care to make sure both build systems stay reasonably in sync.

I'm going to explore doing from setup.py next.