Documentation #1

Hi nok,

Thanks for creating this! Would it be good if we add a page about this in the official OpenmML docs?
https://docs.openml.org/APIs/

It can either be a .md file, like this one:
https://github.com/openml/OpenML/blob/master/docs/docs/Java-guide.md

Or, if you create your own documentation page (e.g. with readthedocs), we can link to that, as we do for the Python API.

Thanks again!
Joaquin