Add documentation for RecordBatch conversion and GIL handling

Author: kosiew

docs/collect-gil.md …urce/user-guide/dataframe/collect-gil.mddocs/collect-gil.md renamed to docs/source/user-guide/dataframe/collect-gil.md docs/collect-gil.md renamed to docs/source/user-guide/dataframe/collect-gil.md

@@ -168,6 +168,9 @@ For large outputs, prefer engine-level writers such as ``df.write_parquet()``
 or other DataFusion writers. These stream data directly to the destination and
 avoid buffering the entire dataset in Python.
 
+For more on parallel record batch conversion and the Python GIL, see
+:doc:`collect-gil`.
+
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@@ -226,3 +229,4 @@ For a complete list of available functions, see the :py:mod:`datafusion.function
    :maxdepth: 1
 
    rendering
+   collect-gil