LocalSGD Example Training Script

It could be nice to have an analog to `train_ddp.py` for LocalSGD (`train_localsgd.py`), although the README does reference `local_sgd_integ_test.py` as an example.

I have the code written and would love to open a PR if people feel like this is valuable. 

Potentially opening up an `examples` directory to host these scripts would be valuable?