Document missing build steps for a non docker environment

[Shameem]

[Bob Van Zant]

I can put something together in BUILDING.rst. Was there a particular area you needed help with? Assuming you are already familiar with Go build environments you basically just run build.sh (or make). go build also works, but you'll be missing the build variable substitution that the Makefile currently does.

Or were you hoping I'd write docs on setting up the development directory structure and things prior to running make?