If you've ever worked with a proper IDE before, it should come as no surprise to you that DM, the default "IDE" of BYOND is kind of awful. Seriously it breaks when you copy paste text with LF line endings into it.
While there's no proper replacement for mapping or managing icons (although I personally recommend you use an image editor like Paint.NET for spriting and you can use FastDMM for mapping), code editing is a ton easier. There's a variety of editors out there which are modular enough to be used for any language, the best one is Sublime Text 3.
First of all, you're gonna need the sublime-DM package, which allows Sublime Text to do proper syntax highlighting on DM code files, and it even does a basic level of DM code analysis (it can detect defines as proc or variable declarations and provide auto completion for them).
To install the package, download a .zip of the repo, and extract it to a folder in the Sublime Text packages directory (see sublime-DM readme for details). You'll also need to install Sublime Package Control
With that installed, if you open a DM code file you'll see it's already done a lot of nice syntax highlighting. That's not all though.
To build from Sublime Text, once you have the sublime-DM package, you're all set! The hotkey to build by default is Control+B. If you press Control+Shift+P to open the command palette, you will have multiple options! You can also go to the top tab bar and go to Tools -> Build With.
Note that you will have to do a couple of things related to the build file. If you are not on a 64-bit system or your BYOND instalation isn't in the standard location, the script won't find the compiler binary. You'll have to edit DM.sublime-settings in the package folder to fix that.