When working with many GRIB files on read-only partition, we set a lot of time indexpath='' to avoid error messages. However, it's very slow because we don't use indexes at all.

This simple PR will allow us to set a particular directory for index files, by automatically create path if needed.

Example of usage :

ds = xr.open_dataset(fp, engine='cfgrib', backend_kwargs={'indexpath': '/tmp/indexes/{path}.idx'})