[BugFix] Writers extend() method should always return indices in data.device

[albertbou92]

Description

This PR replaces the numpy indices returned by data writers with tensor indices in the correspondent device.
It also makes sure that PrioritizedSampler moves received indices to cpu to avoid segmentation fault.

Motivation and Context

Why is this change required? What problem does it solve?
If it fixes an open issue, please link to the issue here.
You can use the syntax close #15213 if this solves the issue #15213

• I have raised an issue to propose this change (required for new features and bug fixes)

Types of changes

What types of changes does your code introduce? Remove all that do not apply:

• Bug fix (non-breaking change which fixes an issue)
• New feature (non-breaking change which adds core functionality)
• Breaking change (fix or feature that would cause existing functionality to change)
• Documentation (update in the documentation)
• Example (update in the folder of examples)

Checklist

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If you are unsure about any of these, don't hesitate to ask. We are here to help!

• I have read the CONTRIBUTION guide (required)
• My change requires a change to the documentation.
• I have updated the tests accordingly (required for a bug fix or a new feature).
• I have updated the documentation accordingly.

[pytorch-bot]

🔗 Helpful Links

🧪 See artifacts and rendered test results at hud.pytorch.org/pr/pytorch/rl/1785

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✅ You can merge normally! (7 Unrelated Failures)

As of commit 034a7e4 with merge base 5b3dd98 ():

FLAKY - The following jobs failed but were likely due to flakiness present on trunk:

• Continuous Benchmark (PR) / CPU Pytest benchmark (gh)
  Workflow failed! Resource not accessible by integration
• Continuous Benchmark (PR) / GPU Pytest benchmark (gh)
  Workflow failed! Resource not accessible by integration
• Examples Tests on Linux / tests (3.9, 12.1) / linux-job (gh)
  RuntimeError: Command docker exec -t d1667085179b9b1c577bb6a1880695e1b2e3325ee8d00111b80f7c2346e39e64 /exec failed with exit code 245
• Unit-tests on Linux CPU / tests (3.10) / linux-job (gh)
  test/test_libs.py::TestGym::test_vecenvs_env[CartPole-v1]
• Unit-tests on MacOS CPU / tests (3.8) / macos-job (gh)
  RuntimeError: Command bash /Users/runner/work/_temp/exec_script failed with exit code 1

BROKEN TRUNK - The following jobs failed but were present on the merge base:

👉 Rebase onto the `viable/strict` branch to avoid these failures

• Habitat Tests on Linux / tests (3.9, 11.6) / linux-job (gh)
  test/test_libs.py::TestHabitat::test_habitat_render[False-HabitatPick-v0]
• Unit-tests on Windows / unittests-gpu / windows-job (gh)
  ##[error]The operation was canceled.

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[vmoens]

LGTM thanks for this