[R] Provide better guidance for persisting XGBoost model (#5964)

* [R] Provide better guidance for persisting XGBoost model

* Update saving_model.rst

* Add a paragraph about xgb.serialize()

R-package/R/xgb.Booster.R

@@ -111,6 +111,8 @@ xgb.get.handle <- function(object) {
 #'                eta = 1, nthread = 2, nrounds = 2, objective = "binary:logistic")
 #' saveRDS(bst, "xgb.model.rds")
 #'
+#' # Warning: The resulting RDS file is only compatible with the current XGBoost version.
+#' # Refer to the section titled "a-compatibility-note-for-saveRDS-save".
 #' bst1 <- readRDS("xgb.model.rds")
 #' if (file.exists("xgb.model.rds")) file.remove("xgb.model.rds")
 #' # the handle is invalid: