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/test_gpu_demos.py

@@ -1,10 +1,13 @@
 import os
 import subprocess
 import sys
+
 import pytest
+
+from xgboost import testing as tm
+
 sys.path.append("tests/python")
-import testing as tm
-import test_demos as td         # noqa
+import test_demos as td  # noqa
 
 
 @pytest.mark.skipif(**tm.no_cupy())
@@ -31,6 +34,6 @@ def test_categorical_demo():
 @pytest.mark.skipif(**tm.no_cupy())
 @pytest.mark.mgpu
 def test_dask_training():
-    script = os.path.join(tm.PROJECT_ROOT, 'demo', 'dask', 'gpu_training.py')
+    script = os.path.join(tm.demo_dir(__file__), 'dask', 'gpu_training.py')
     cmd = ['python', script]
-    subprocess.check_call(cmd)
+    subprocess.check_call(cmd)