First I tried with cabal install idris, but that left me there puzzled because of modules depending with each other
and failing all together happily.
Then I tried with stack, and stack install idris --install-ghc.
The install-ghc flag allows to install the correct version of GHC, which for example on my system was too old.
Which all failed miserably.
So I went with installing Idris in a sandbox which a few people suggested, and it worked!
I had a look at this video from Edwin Brady, I've found it pretty useful to understand the amount of work Idris could do for you.