mems output in XLNet
## 🐛 Bug

Hi, 
I am trying to use memory of the last forward pass (mems arg) with XLNet. I am getting a tuple of None as mems output instead of a tuple of tensor. The same code with TransformerXL is running fine. Am I doing anything wrong or is this a bug ? Below is a short code snippet to reproduce the error. 
Many thanks,
A

```python
import torch
from pytorch_transformers import TransfoXLTokenizer, TransfoXLModel, XLNetTokenizer, XLNetModel

text = ['This is the first sentence. ', 'And this is another one']

# transformer-XL
tokenizer = TransfoXLTokenizer.from_pretrained('transfo-xl-wt103')
model = TransfoXLModel.from_pretrained('transfo-xl-wt103')
mems = None
for i in range(2):
    input_ids = torch.tensor(tokenizer.encode(text[i])).unsqueeze(0) 
    outputs = model(input_ids, mems=mems)
    mems = outputs[1]
# RUNS OK

# XLNet
tokenizer = XLNetTokenizer.from_pretrained('xlnet-large-cased')
model = XLNetModel.from_pretrained('xlnet-large-cased')
mems = None
for i in range(2):
    input_ids = torch.tensor(tokenizer.encode(text[i])).unsqueeze(0)
    outputs = model(input_ids, mems=mems)
    mems = outputs[1]
# We get tuple of None in first model output, second forward crashes.
# File "/home/asors/anaconda3/envs/psco/lib/python3.7/site-packages/pytorch_transformers/modeling_xlnet.py", line 858, in forward
#     mlen = mems[0].shape[0] if mems is not None else 0
```

<!-- Important information -->

Model I am using: XLNet
Language I am using the model on (English, Chinese....):

* OS: Ubuntu
* Python version: 3.7
* PyTorch version: 1.1.0
* PyTorch Transformers version (or branch): 1.1.0
Indeed I see, we have to add:
- an explanation in XLM's docstring that you should set the model configuration `mem_len` parameter if you want to use the memory (the answer to your main question). You can do for instance `model = XLNetModel.from_pretrained('xlnet-large-cased', mem_len=1024)` if you want a max memory of 1024 tokens. By default the model doesn't use memory (`mem_len = None`)
- a check in the code to avoid the error you are reporting.<|||||>Thanks for your reply and the new doc!