Update sft_trainer.mdx to add note on launching DDP training

As requested here: huggingface#1303 (comment)

docs/source/sft_trainer.mdx

@@ -582,6 +582,20 @@ Pay attention to the following best practices when training a model with that tr
 - For a more memory-efficient training using adapters, you can load the base model in 8bit, for that simply add `load_in_8bit` argument when creating the [`SFTTrainer`], or create a base model in 8bit outside the trainer and pass it.
 - If you create a model outside the trainer, make sure to not pass to the trainer any additional keyword arguments that are relative to `from_pretrained()` method.
 
+## Multi-GPU Training
+
+Trainer (and thus SFTTrainer) supports multi-GPU training. If you run your script with `python script.py` it will default to using DP as the strategy, which may be [slower than expected](https://github.com/huggingface/trl/issues/1303). To use DDP (which is generally recommended, see [here](https://huggingface.co/docs/transformers/en/perf_train_gpu_many?select-gpu=Accelerate#data-parallelism) for more info) you must launch the script with `python -m torch.distributed.launch script.py` or `accelerate launch script.py`. For DDP to work you must also check the following:
+- If you're using gradient_checkpointing, add the following to the TrainingArguments: `gradient_checkpointing_kwargs={'use_reentrant':False}` (more info [here](https://github.com/huggingface/transformers/issues/26969)
+- Ensure that the model is placed on the correct device:
+```python
+from accelerate import PartialState
+device_string = PartialState().process_index
+model = AutoModelForCausalLM.from_pretrained(
+     ...
+    device_map={'':device_string}
+)
+```
+
 ## GPTQ Conversion
 
 You may experience some issues with GPTQ Quantization after completing training. Lowering `gradient_accumulation_steps` to `4` will resolve most issues during the quantization process to GPTQ format.