[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

python-package/setup.py

@@ -119,6 +119,13 @@ class BuildExt(build_ext.build_ext):  # pylint: disable=too-many-ancestors
                 continue
             cmake_cmd.append('-D' + arg + '=' + value)
 
+        # Flag for cross-compiling for Apple Silicon
+        # We use environment variable because it's the only way to pass down custom flags
+        # through the cibuildwheel package, which otherwise calls `python setup.py bdist_wheel`
+        # command.
+        if 'CIBW_TARGET_OSX_ARM64' in os.environ:
+            cmake_cmd.append("-DCMAKE_OSX_ARCHITECTURES=arm64")
+
         self.logger.info('Run CMake command: %s', str(cmake_cmd))
         subprocess.check_call(cmake_cmd, cwd=build_dir)