[iter] user-tip for better perf (#8712)

doc/source/iter.rst

@@ -198,6 +198,11 @@ distributed training:
     work = [train.remote(shard) for shard in it.shards()]
     ray.get(work)
 
+.. tip:: Using ParallelIterator built-in functions is typically most efficient.
+         For example, if you find yourself using list comprehensions like
+         ``[foo(x) for x in iter.gather_async()]``, consider using
+         ``iter.for_each(foo)`` instead!
+
 API Reference
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