Check URLs during website build

[niksirbi]

@lochhh has suggested a neat way of handling links in Sphinx.

Essentially, we can have one central place for all links in conf.py, meaning we only need to worry about updating URLs there.
This should reduce the probability of broken links.
I'm happy to implement this here after the above movement PR is merged.

As an additional check, we will implement the checking of URLs during docs build (Sphinx has a "linkcheck" capability), but this will be implemented upstream, in the actions repository.

[adamltyson]

The link checking is now active as of #53

[niksirbi]

So we now just need to implement the link centralisation in conf.py.