Fix wrapping GPU ID and prevent data copying. (#5160)

* Removed some data copying.

* Make sure gpu_id is valid before any configuration is carried out.

tests/python-gpu/load_pickle.py

@@ -37,3 +37,15 @@ class TestLoadPickle(unittest.TestCase):
         config = json.loads(config)
         assert config['learner']['gradient_booster']['gbtree_train_param'][
             'predictor'] == 'gpu_predictor'
+
+    def test_wrap_gpu_id(self):
+        assert os.environ['CUDA_VISIBLE_DEVICES'] == '0'
+        bst = load_pickle(model_path)
+        config = bst.save_config()
+        config = json.loads(config)
+        assert config['learner']['generic_param']['gpu_id'] == '0'
+
+        x, y = build_dataset()
+        test_x = xgb.DMatrix(x)
+        res = bst.predict(test_x)
+        assert len(res) == 10