Add dataset caching

[john-sandall]

Design inspiration: gensim's downloader functions

• https://rare-technologies.com/new-download-api-for-pretrained-nlp-models-and-datasets-in-gensim/
• https://github.com/RaRe-Technologies/gensim/blob/develop/gensim/downloader.py#L291
• https://github.com/RaRe-Technologies/gensim-data/blob/master/list.json