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[Docs][C++] Add example of using ExternalProject_Add to use Arrow #32234

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@asfimport

We've given advice to use ExternalProject_Add to build Arrow from source within a users CMake project. (Correct me if I am wrong that that is the preferred method now.) But I found it non-trivial to implement this.

We should add a simple example of doing this to the User Guide. We should also mention that we don't support add_subdirectory as that seems to be a common gotcha as well.

This might overlap with ARROW-9740, but I don't quite understand what that issue is proposing.

Reporter: Will Jones / @wjones127

Note: This issue was originally created as ARROW-16914. Please see the migration documentation for further details.

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