[Doc] Fix spelling, references and update info on building docs (#3682)

* Fix ref to message-passing guide

* Fix pygments and spacing

* Update build documentation steps in README.md

* Use links

* Adjust parameters in SAGEConv docstring in same order as init

* Fix spelling error

* Change doc link

docs/README.md

@@ -3,6 +3,7 @@ DGL document and tutorial folder
 
 Requirements
 ------------
+You need to build DGL locally first (as described [here](https://docs.dgl.ai/install/index.html#install-from-source)), and ensure the following python packages are installed:
 * sphinx
 * sphinx-gallery
 * sphinx_rtd_theme