[trainer] [deepspeed] refactor deepspeed setup devices
Following the discussion at https://github.com/huggingface/transformers/pull/9798#pullrequestreview-578822445 as we now have multiple integrations with complex unique setups, @sgugger and I agreed that it's better to have a small duplication of a few lines of code but to make it much easier to understand what goes on for a specific integration, so rather than further refactoring the recently added sage branch, this PR creates a dedicated branch for DeepSpeed and thus simplifies the general case when straight DDP is used.

There is no functionality change - just a small code reshuffle.

@sgugger 
