I think this would be much cleaner if it was a separate directory because:

- Version control is much easier.  Just update mxnet or `rm -rf` it without 
extra cruft
- This reflects reality much better.  Somebody else builds mxnet for `pip` 
without knowing about my stuff. MXNet ships a docker in which I can build my 
thing for binary compatibility.  
- MXNet should be usable as a submodule.  

So my ideal instructions look more like

1. compile MXNet normally from a clean checkout
2. cd into your own project, configure with `-DMXNET=/path/to/mxnet` and 
compile.  Sample project provided and part of integration tests.  
3. `my_op.so` built by my build system
4. dynamically load shared library into MXNet via `mx.library.load()`

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