[CI] Build Python wheels for MacOS (x86_64 and arm64) (#7621)

* Build Python wheels for OSX (x86_64 and arm64)

* Use Conda's libomp when running Python tests

* fix

* Add comment to explain CIBW_TARGET_OSX_ARM64

* Update release script

* Add comments in build_python_wheels.sh

* Document wheel pipeline

.github/workflows/python_wheels.yml

@@ -0,0 +1,57 @@
+name: XGBoost-Python-Wheels
+
+on: [push, pull_request]
+
+jobs:
+  python-wheels:
+    name: Build wheel for ${{ matrix.platform_id }}
+    runs-on: ${{ matrix.os }}
+    strategy:
+      matrix:
+        include:
+        - os: macos-latest
+          python: 37
+          platform_id: macosx_x86_64
+          wheel_tag: macosx_10_15_x86_64.macosx_11_0_x86_64.macosx_12_0_x86_64
+        - os: macos-latest
+          python: 38
+          platform_id: macosx_arm64
+          wheel_tag: macosx_12_0_arm64
+    steps:
+    - uses: actions/checkout@v2
+      with:
+        submodules: 'true'
+    - name: Setup Python
+      uses: actions/setup-python@v2
+      with:
+        python-version: '3.9'
+    - name: Set env var for ARM64
+      shell: bash
+      run: echo "::set-output name=value::CIBW_TARGET_OSX_ARM64=1"
+      id: arm64_flag
+      if: matrix.platform_id == 'macosx_arm64'
+    - name: Build wheels
+      env:
+        CIBW_BUILD: cp${{ matrix.python }}-${{ matrix.platform_id }}
+        CIBW_ARCHS: all
+        CIBW_ENVIRONMENT: ${{ steps.arm64_flag.outputs.value }}
+        CIBW_TEST_SKIP: "*-macosx_arm64"
+        CIBW_BUILD_VERBOSITY: 3
+      run: bash tests/ci_build/build_python_wheels.sh
+
+    - name: Rename Python wheel
+      run: |
+        python tests/ci_build/rename_whl.py wheelhouse/*.whl ${{ github.sha }} ${{ matrix.wheel_tag }}
+    - name: Extract branch name
+      shell: bash
+      run: echo "##[set-output name=branch;]$(echo ${GITHUB_REF#refs/heads/})"
+      id: extract_branch
+      if: github.ref == 'refs/heads/master' || contains(github.ref, 'refs/heads/release_')
+    - name: Upload Python wheel
+      if: github.ref == 'refs/heads/master' || contains(github.ref, 'refs/heads/release_')
+      run: |
+        python -m pip install awscli
+        python -m awscli s3 cp wheelhouse/*.whl s3://xgboost-nightly-builds/${{ steps.extract_branch.outputs.branch }}/ --acl public-read
+      env:
+        AWS_ACCESS_KEY_ID: ${{ secrets.AWS_ACCESS_KEY_ID_IAM_S3_UPLOADER }}
+        AWS_SECRET_ACCESS_KEY: ${{ secrets.AWS_SECRET_ACCESS_KEY_IAM_S3_UPLOADER }}