[docs] [ci] encourage use of cmake --build

[jameslamb]

Contributes to #6350, and just generally to the goal of making it easier to develop against LightGBM.

Proposes replacing this pattern:

mkdir build
cd build
cmake -DSOME_OPTION=ON -DOTHER_OPTION=OFF ..
make -j2 _lightgbm

with this

cmake -B build -S . -DSOME_OPTION=ON -DOTHER_OPTION=OFF
cmake --build build --target _lightgbm -j2

Benefits of this change

• simpler to read and write (no worrying about mkdir vs. mkdir -p, or cd-ing to the right place and passing a path like ..)
• works regardless of the generator chosen (e.g. you could switch from -G "Unix Makefiles" to -G "Ninja" and not need to change the build command)

Notes for Reviewers

In case you're not familiar with this pattern in CMake, see the following:

• https://cliutils.gitlab.io/modern-cmake/chapters/intro/running.html
• https://stackoverflow.com/questions/71723171/cmake-build-vs-make-what-the-difference

[borchero]

LGTM but I'm no cmake expert 😄

[jameslamb]

Thanks @borchero !

I'm no cmake expert

Let's get one more review from @shiyu1994 / @guolinke

[guolinke]

A quick question: can we use make to build after this change?

[jameslamb]

can we use make to build after this change?

Definitely! This would work:

cmake -B build -S .
make -j2 -C build _lightgbm

The cmake --build form is just slightly more general... it'll work regardless of what generator you chose. Like this:

cmake -B build -S .
cmake --build build

cmake -B build -S . -G Ninja
# this still works
#
# otherwise, would have to do 'ninja ...'
cmake --build build

[jameslamb]

Thank you both!