Fix Baselines gym_unity example to work with the latest Baselines (#2489)

* This addresses #1835. Baselines expects single environments used with their ppo2 algorithm to be wrapped in a DummyVecEnv. The old readme did not instruct the reader to do so and the code failed to run with the latest version of baselines. This imports the correct function from baselines and fixes the make_unity_env function described in the readme.

* added line to gym-unity/README.md to note the version of baselines the examples were tested with

gym-unity/README.md

 launch each algorithm. In most cases these scripts can be created by making
 slight modifications to the ones provided for Atari and Mujoco environments.
 
+These examples were tested with baselines version 0.1.6.
+
 ### Example - DQN Baseline
 
 In order to train an agent to play the `GridWorld` environment using the
 ```python
 from gym_unity.envs import UnityEnv
 from baselines.common.vec_env.subproc_vec_env import SubprocVecEnv
+from baselines.common.vec_env.dummy_vec_env import DummyVecEnv
 from baselines.bench import Monitor
 from baselines import logger
 import baselines.ppo2.ppo2 as ppo2
         return SubprocVecEnv([make_env(i + start_index) for i in range(num_env)])
     else:
         rank = MPI.COMM_WORLD.Get_rank() if MPI else 0
-        return make_env(rank, use_visual=False)
+        return DummyVecEnv([make_env(rank, use_visual=False)])
 
 def main():
     env = make_unity_env('./envs/GridWorld', 4, True)