Audit copied third_party libraries

[njbrake]

We have a few other third_party libraries.

Either pull them in as git submodules, pull them in dynamically via the make setup command, or consider conan or CMake FetchContent to pull them.

• mbedtls
• sqlite
• stb:
• double-conversion

[reneleonhardt]

git submodules sounds like the best solution, dependabot can update them easily.