Adding to docs how to train CTRL Model with control codes. 
# 🚀 Feature request

At the moment there is no explanation in the docs how to train a CTRL model with user defined `control codes`. 

## Motivation

At the moment there is no explanation in the docs how to train a CTRL model with user defined `control codes`. I think it should be added because control codes are an important part of CTRL model.

## Your contribution

 I am currently struggling on coming up with ideas on how to do that using transformer interface, but I'd love to open a PR after I understand how to do that.
This issue has been automatically marked as stale because it has not had recent activity. If you think this still needs to be addressed please comment on this thread.

Please note that issues that do not follow the [contributing guidelines](https://github.com/huggingface/transformers/blob/master/CONTRIBUTING.md) are likely to be ignored.<|||||>Did anyone figure out how to do this?