Fix #1826 (#1835)

Co-authored-by: Ubuntu <ubuntu@ip-172-31-51-214.ec2.internal>

python/dgl/data/graph_serialize.py

 """For Graph Serialization"""
 from __future__ import absolute_import
+import os
 from ..graph import DGLGraph
 from ..heterograph import DGLHeteroGraph
 from .._ffi.object import ObjectBase, register_object
@@ -95,6 +96,13 @@ def save_graphs(filename, g_list, labels=None):
     >>> save_graphs("./data.bin", [g1, g2], graph_labels)
 
     """
+    # if it is local file, do some sanity check
+    if filename.startswith('s3://') is False:
+        assert not os.path.isdir(filename), "filename {} is an existing directory.".format(filename)
+        f_path, _ = os.path.split(filename)
+        if not os.path.exists(f_path):
+            os.makedirs(f_path)
+
     g_sample = g_list[0] if isinstance(g_list, list) else g_list
     if isinstance(g_sample, DGLGraph):
         save_dglgraphs(filename, g_list, labels)
@@ -149,6 +157,9 @@ def load_graphs(filename, idx_list=None):
     >>> glist, label_dict = load_graphs("./data.bin", [0]) # glist will be [g1]
 
     """
+    # if it is local file, do some sanity check
+    assert filename.startswith('s3://') or os.path.exists(filename), "file {} does not exist.".format(filename)
+
     version = _CAPI_GetFileVersion(filename)
     if version == 1:
         return load_graph_v1(filename, idx_list)
@@ -204,6 +215,9 @@ def load_labels(filename):
     >>> label_dict = load_graphs("./data.bin")
 
     """
+    # if it is local file, do some sanity check
+    assert filename.startswith('s3://') or os.path.exists(filename), "file {} does not exist.".format(filename)
+
     version = _CAPI_GetFileVersion(filename)
     if version == 1:
         return load_labels_v1(filename)