migration: Make compression_threads use save/load_setup/cleanup()

Once there, be consistent and use
compress_thread_{save,load}_{setup,cleanup}.

Signed-off-by: Juan Quintela <quintela@redhat.com>
Reviewed-by: Dr. David Alan Gilbert <dgilbert@redhat.com>
Message-Id: <20170628095228.4661-6-quintela@redhat.com>
Signed-off-by: Dr. David Alan Gilbert <dgilbert@redhat.com>