Mention GMT docs regarding more complicated legends in gallery example "Legends" (#2606)

Author: yvonnefroehlich

examples/gallery/embellishments/legend.py

@@ -4,7 +4,12 @@
 
 The :meth:`pygmt.Figure.legend` method can automatically create a legend for
 symbols plotted using :meth:`pygmt.Figure.plot`. Legend entries are only
-created when the ``label`` parameter is used.
+created when the ``label`` parameter is used. For more complicated legends,
+including legends with multiple columns, users have to write an ASCII file
+with instructions for the layout of the legend items and pass it
+to the ``spec`` parameter of :meth:`pygmt.Figure.legend`. For details on
+how to set up such a file, please see the GMT documentation at
+https://docs.generic-mapping-tools.org/latest/legend.html#legend-codes.
 """
 import pygmt