doc update: added db setup instructions

docs/integration/bun.mdx

@@ -33,6 +33,7 @@ Bun.serve({
 
 console.log("Server running at http://localhost:1337");
 ```
+For more information about the connection object, refer to the [Setup](/setup) guide.
 
 Run the application using Bun by executing:
 ```bash

docs/integration/cloudflare.mdx

@@ -11,8 +11,8 @@ and then install bknd as a dependency:
 
 <InstallBknd />
 
-## Serve the API
 
+## Serve the API
 ``` ts
 import { serve } from "bknd/adapter/cloudflare";
 
@@ -30,6 +30,7 @@ export default serve(
    }
 );
 ```
+For more information about the connection object, refer to the [Setup](/setup) guide.
 
 Now run the worker:
 ```bash

docs/integration/nextjs.mdx

@@ -33,6 +33,7 @@ export default serve({
    }
 });
 ```
+For more information about the connection object, refer to the [Setup](/setup) guide.
 
 ## Enabling the Admin UI
 Create a file `[[...admin]].tsx` inside the `pages/admin` folder:

docs/integration/remix.mdx

@@ -30,6 +30,7 @@ const handler = serve({
 export const loader = handler;
 export const action = handler;
 ```
+For more information about the connection object, refer to the [Setup](/setup) guide.
 
 ## Enabling the Admin UI
 Create a new splat route file at `app/routes/admin.$.tsx`: