Rollup merge of #41995 - gamazeps:thread-localkey, r=frewsxcv
Rollup merge of #41995 - gamazeps:thread-localkey, r=frewsxcv

[Doc] Add links to the `thread::LocalKey` doc.

Part of #29378 .

I do not know exactly what should be done for the `cleanup` part, if you have any idea I'll gladly do it.

r? @rust-lang/docs

GBGamer/rust,graydon/rust,graydon/rust,aidancully/rust,GBGamer/rust,GBGamer/rust,graydon/rust,GBGamer/rust,GBGamer/rust,aidancully/rust,graydon/rust,aidancully/rust,aidancully/rust,graydon/rust,GBGamer/rust,aidancully/rust,GBGamer/rust,graydon/rust,aidancully/rust,GBGamer/rust