Enhancement for `penalty`

This is an enhancement request, not a real issue. And it's not very urgent, I would say.

In my opinion, it's kind of hard for the user to specify argument penalty of varsel() and cv_varsel(), for two reasons:

1. penalty expects a vector of indices (for the coefficients, not the terms) and it's kind of difficult to know the "table" to which the indices refer (with "table", I mean the full vector of coefficient indices together with the mapping from indices to coefficients).
2. Categorical predictors with more than 2 categories have more than coefficient, so it gets even harder to know the "table" to which the indices refer.

So my suggestion would be to:

1. Add a convenience function giving the possible coefficient names to the user. I'm not 100% sure, but I think they are the column names of the "model.matrix" from these lines: https://github.com/stan-dev/projpred/blob/a6c32fe04abb9b570ad7addcc9967267796b8023/R/search.R#L148-L151 Btw, that new function could also offer an optional argument for returning the possible terms (not coefficient names). For that, I think it could rely on https://github.com/stan-dev/projpred/blob/9b906cf0871d40919446ad6e92f442d77f939b3b/R/project.R#L142-L148
2. Either stop here or go ahead and let penalty also accept the coefficient names, not only the coefficient indices.

Start in R/search.R at lines 148-151 to inspect how model-matrix coefficient names are obtained, then compare R/project.R lines 142-148 for the term mapping. Decide the intended scope between a function that exposes coefficient or term names and allowing penalty to accept names. Done means the chosen interface is documented and covered by relevant tests.