Move Python testing utilities into xgboost module. (#8379)

- Add typehints.
- Fixes for pylint.

Co-authored-by: Hyunsu Philip Cho <chohyu01@cs.washington.edu>

tests/python-gpu/load_pickle.py

@@ -1,16 +1,14 @@
 '''Loading a pickled model generated by test_pickling.py, only used by
 `test_gpu_with_dask.py`'''
-import os
-import numpy as np
-import xgboost as xgb
 import json
+import os
+
+import numpy as np
 import pytest
-import sys
+from test_gpu_pickling import build_dataset, load_pickle, model_path
 
-from test_gpu_pickling import build_dataset, model_path, load_pickle
-
-sys.path.append("tests/python")
-import testing as tm
+import xgboost as xgb
+from xgboost import testing as tm
 
 
 class TestLoadPickle: