[Python ]Add span/transaction set_data docs (#12276)

Author: antonpirker

docs/platforms/python/tracing/instrumentation/custom-instrumentation/index.mdx

@@ -235,3 +235,35 @@ def eat_slice(slice):
     if span is not None:
         span.set_tag("slice_id", slice.id)
 ```
+
+## Improving Data on Transactions and Spans
+
+### Adding Data Attributes to Transactions
+
+You can add data attributes to your transactions. This data is visible in the trace explorer in Sentry. Data attributes can be of type `string`, `number` or `boolean`, as well as (non-mixed) arrays of these types:
+
+```python
+with sentry_sdk.start_transaction(name="my-transaction") as transaction:
+    transaction.set_data("my-data-attribute-1", "value1")
+    transaction.set_data("my-data-attribute-2", 42)
+    transaction.set_data("my-data-attribute-3", True)
+
+    transaction.set_data("my-data-attribute-4", ["value1", "value2", "value3"])
+    transaction.set_data("my-data-attribute-5", [42, 43, 44])
+    transaction.set_data("my-data-attribute-6", [True, False, True])
+```
+
+### Adding Data Attributes to Spans
+
+You can add data attributes to your spans. This data is visible in the trace explorer in Sentry. Data attributes can be of type `string`, `number` or `boolean`, as well as (non-mixed) arrays of these types:
+
+```python
+with sentry_sdk.start_span(name="my-span") as span:
+    span.set_data("my-data-attribute-1", "value1")
+    span.set_data("my-data-attribute-2", 42)
+    span.set_data("my-data-attribute-3", True)
+
+    span.set_data("my-data-attribute-4", ["value1", "value2", "value3"])
+    span.set_data("my-data-attribute-5", [42, 43, 44])
+    span.set_data("my-data-attribute-6", [True, False, True])
+```