doc: fix relative links and add tips (#7319)

This PR is a documentation only one which:
- addresses the #7231 by adding a paragraph in `docs/getting-started.md`
in the tips category to encourage users to load everything needed in
their environment
- corrects link referencing in `docs/platform-sandboxing.md` so that the
page link opens at the right section
- removes the explicit heading IDs like {#my-id} in `docs/advanced.md`
which are not supported by GitHub and are **not** rendered in the UI:

<img width="1198" height="849" alt="Screenshot 2025-11-26 at 16 25 31"
src="https://github.com/user-attachments/assets/308d33c3-81d3-4785-a6c1-e9377e6d3ea6"
/>

This caused the following links in `README.md` to not work in `main` but
to work in this branch (you can test by going to
https://github.com/openai/codex/blob/docs/getting-started-enhancement/README.md)
- the MCP link goes straight to the correct section now:

```markdown
  - [**Advanced**](./docs/advanced.md)
  - [Tracing / verbose logging](./docs/advanced.md#tracing--verbose-logging)
  - [Model Context Protocol (MCP)](./docs/advanced.md#model-context-protocol-mcp)
```

---------

Signed-off-by: lionel-oai <lionel@openai.com>
Signed-off-by: lionelchg <lionel.cheng@hotmail.fr>
Co-authored-by: lionelchg <lionel.cheng@hotmail.fr>

docs/platform-sandboxing.md

@@ -1,3 +1,3 @@
 ## Platform sandboxing
 
-This content now lives alongside the rest of the sandbox guidance. See [Sandbox mechanics by platform](./sandbox.md#platform-sandboxing-details) for up-to-date details.
+This content now lives alongside the rest of the sandbox guidance. See [Sandbox mechanics by platform](./sandbox.md#sandbox-mechanics-by-platform) for up-to-date details.