Add Way to Track Weights for Multiple Chains

[ParadaCarleton]

Created issue to keep track of this -- after adding weights, we want to have a way to handle multiple weighted chains. Currently weights are assumed to be the same across chains.

[devmotion]

Should this issue be moved to MCMCChains? There's a more general issue (https://github.com/TuringLang/MCMCChains.jl/issues/253) but IIRC it does not discuss weights for multiple chains explicitly.

[ParadaCarleton]

Yep, sorry, I meant to put it in there 😅