[Doc] Improve documentation on how to build python client wheels

[vkvm]

Problem

There are several scripts involved. As a new user I fumbled my way through figuring what I needed to run in order to get a python 3.9 wheel built. See PR #9389 . I also fixed a couple of minor issues in the process.

Desired outcome

The goal is to make it easier to do this for new or existing python versions without any surprises. This may involve more than documentation -- for example some refactoring of the scripts.

[jiazhai]

Thanks @vkvm for tracking this issue.

[Anonymitaet]

Hi @vkvm, since you did the code job, would you like to add the doc correspondingly? Many thanks

[Anonymitaet]

Hi @vkvm, thanks for your work, any progress about the doc?

[Anonymitaet]

Hi @vkvm, would you like to add docs accordingly? Then we can help review, thanks

[vkvm]

Hi @Anonymitaet - I will work on it later this week.

[Anonymitaet]

Hi @vkvm any progress on the docs? I would like to help review, thanks

[Anonymitaet]

Hi @vkvm any progress on the docs? We would like to help review, thanks