Files are created in tmp dirs and they are cleaned if tests succeed (#1061)

[GMDSantana]

As discussed in #1061, here we use this:

https://docs.python.org/3/library/tempfile.html#tempfile.TemporaryDirectory

to handle the creation of temporary directories. The files are not deleted in case there are any test failures, so they can be inspected.

[progval]

Thanks

Could you create a single temporary directory with the three test- inside it, as well as print its path? This will make it easier for people running tests to locate where the data is.

[progval]

Thanks!