[DOC] Fixing LocalCUDACluster example. Adding README link to docs

[randerzander]

Closes #296

[codecov-io]

Codecov Report

Merging #297 into branch-0.14 will not change coverage.
The diff coverage is n/a.

@@             Coverage Diff              @@
##           branch-0.14     #297   +/-   ##
============================================
  Coverage        59.59%   59.59%           
============================================
  Files               16       16           
  Lines             1287     1287           
============================================
  Hits               767      767           
  Misses             520      520           

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[quasiben]

Thanks for getting this together!