Move third_party directory into build

[wangkuiyi]

The building process, in particular, cmake/external/*.cmake, creates third_party/. If we want a brand new build, we will need to remove both ${CMAKE_BINARY_DIR}, which is build/, and third_party/.

Some new users don't know all these and remove only build/ with failed expectation of brand new build.

[wangkuiyi]

I noticed that in our Travis CI configuration, we are placing thrid_party in $HOME/third_party and we asked Travis CI to cache it:

cache:
  directories:
    - $HOME/third_party
    - $HOME/.ccache
    - $HOME/.cache/pip

This accelerates the building and testing, but it also increased the complexity of our code base, as explained in #2571.

Also, as we have been using TeamCity CI for a while; and we don't do the cache there. It seems that the building and testing of both CPU and GPU code take ~15 mins. It seems that we don't really depend on this caching.