feat: integrate callback saving into integrator init and finalize#629

ChrisRackauckas merged 3 commits intoSciML:masterSciML/StochasticDiffEq.jl:masterfrom

AayushSabharwal:as/fix-disc-saveAayushSabharwal/StochasticDiffEq.jl:as/fix-disc-saveCopy head branch name to clipboard