To get started with Android/CyanogenMod, you'll need to get familiar with Git and Repo.
To initialize your local repository using the CyanogenMod trees, use a command like this:
repo init -u git://github.com/CyanogenMod/android.git -b cm-14.0
mkdir -p .repo/local_manifests
wget https://github.com/6-9-6-9/android/raw/cm-14.0/local_manifest.xml -O .repo/local_manifests/local_manifest.xml
Then to sync up:
repo sync
To build:
. build/envsetup.sh
lunch
mka bacon
Please see the CyanogenMod Wiki for building instructions.