If it's the first time:

Get Source

$ git clone git://github.com/jjgod/vim-cocoa.git

It will create a vim-cocoa directory under your current directory, which will contain all vim-cocoa source code.

Configure & Build

vim-cocoa started to use out-of-directory build. You need cmake to configure.

At the same parent directory of vim-cocoa:

mkdir vim-build
cd vim-build
cmake ../vim-cocoa/src
make

Install it

make install

It will be installed to /Applications/Vim.app.

Update

After that, if you need to update to the newest vim-cocoa code (it's synced with upstream vim code), just do:

git pull origin

then:

make && sudo make install