New callback to save a list of iterates every set number of iterations #1308

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Run time

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Job	Run time
conda-matrix	1s
docs	3m 45s
test (3.10, 1.23)	4m 39s
docker	6m 22s
test (3.12, 1.26)	3m 40s
test-cuda (3.11, 1.25)	2m 15s
conda (3.10, 1.23)	7m 11s
conda (3.12, 1.26)	6m 50s
pass	1s
conda-reindex	0s
	34m 44s