In order to start a new Haxe target project you must download the sources from CVS. There also exists a script, install.ml, which automatizes downloading and installation:
How to run
install.ml depends on your Operative System. Complete instructions for each plaform are available in compiler_guide.
Once you've started to write your code you'll realize that compilation is painfully slow, more than 30 seconds in most cases. If you have a look at
install.ml you'll see that, apart from the files you've modified, it recompiles a lot of files you haven't touched.
Ocaml has the possibility to do incremental compilation, which will let you reduce compilation time to near 2 sec. Check incremental compilation script on haxeCLI repository and modify it in order to create your own: