Loading weights straight to GPU only works for inference

### System Info

```Shell
accelerate v0.22.0
```

### Information

- [X] The official example scripts
- [ ] My own modified scripts

### Tasks

- [X] One of the scripts in the examples/ folder of Accelerate or an officially supported `no_trainer` script in the `examples` folder of the `transformers` repo (such as `run_no_trainer_glue.py`)
- [ ] My own task or dataset (give details below)

### Reproduction

Going through the doc, accelerate currently does not seem to support loading weights straight to the GPU if the model is to be used for training. If this is correct, are there any plans to support this in the future?

### Expected behavior

It would be nice to be able to load weights straight to GPU when training, and to be able to do this either in the single or multi-gpu case.