Delete test files generated from running sphinx gallery examples

[rly]

Motivation

Running the Sphinx gallery examples locally (python test.py -e) generates a lot of test files that are frustrating to delete. This PR deletes the resulting test files after running those examples in the test suite. In order to delete the test files on Windows, the h5py file handle must be explicitly closed, so this PR also updates the Sphinx gallery examples to close the file.

How to test the behavior?

python test.py -e

Checklist

• Did you update CHANGELOG.md with your changes?
• Have you checked our Contributing document?
• Have you ensured the PR clearly describes the problem and the solution?
• Is your contribution compliant with our coding style? This can be checked running flake8 from the source directory.
• Have you checked to ensure that there aren't other open Pull Requests for the same change?
• Have you included the relevant issue number using "Fix #XXX" notation where XXX is the issue number? By including "Fix #XXX" you allow GitHub to close issue #XXX when the PR is merged.

[codecov]

Codecov Report

Merging #1517 (4becdcf) into dev (90c6bd8) will not change coverage.
The diff coverage is n/a.

@@           Coverage Diff           @@
##              dev    #1517   +/-   ##
=======================================
  Coverage   90.65%   90.65%           
=======================================
  Files          25       25           
  Lines        2494     2494           
  Branches      466      466           
=======================================
  Hits         2261     2261           
  Misses        148      148           
  Partials       85       85           

Flag	Coverage Δ
integration	69.60% <ø> (ø)
unit	84.16% <ø> (ø)

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[oruebel]

Aside from updating the instructions for creating tutorials this looks good to me.

[rly]

Code coverage for the validation script was not being maintained and uploaded to codecov. I fixed that. Please re-approve

[oruebel]

Looks good. Thanks for addressing this issue.