Add safety check

Do not include `mmap`s in `_IndexReader` pickle

Shouldn't affect `IndexedDataset`, since that, in turn, doesn't include
the `_IndexReader` in its pickle, but this way it's just safer and more
future-proof.

Do not include `mmap`ed objects in `pickle`ing

We rewrite the `pickle` protocol for the datasets because this avoids
running out of memory on some machines.