Investigate graphs load time cost and improve

## 🔨Work Item

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Project tracker: https://github.com/orgs/dmlc/projects/2

## Description
DGL graphs load is quarter the speed of PYG againt different graphs, and the gap increase when repeated number of graphs increase, we should investigate why this happens and try to improve.
*DGL*
| Graph number | Size in disk(Mb) | Load time(Seconds) |
| :-----| ----: | :----: |
| 100K | 105| 42 |
| 1000K | 1047 | 422 |
| 5000K | 5235 | 2067 |

*PYG*
| Graph number | Size in disk(Mb) | Load time(Seconds) |
| :-----| ----: | :----: |
| 100K | 105| 9.72 |
| 1000K | 1057 | 95.53 |
| 5000K | 5246 | 473.26|

## Depending work items or issues