Document how to run tests

[rukai]

It was not clear to me how to run tests, I eventually figured it out and documented my findings here.

Instead of checking in the script we could provide a lengthy snippet of code for the user to copy/paste, but I think a script is much more convenient. Maybe we should also provide a .ps1 file for windows users?

On my machine many tests will fail when run concurrently, so I added --test-threads 1 to both the script and the CI config. I think we somehow avoid this issue on CI since CI machines only have 2 cores.