You dont need to install it, just follow the tutorial and copy jQM files into assets/www directory and rebuild android project so it can accommodate to phonegap libraries.
This tutorial will help you learn how to create an apk file, but from your second question I think you know what to do.
Regarding your second question slowness is not do to phonegap but because of jQuery mobile. It is still a rather slow framework for mobile devices. iPhone 5+ is currently best mobile platform for jQM, for android only 4+ version. Look at this graphs, they represent jQuery performance differences between mobile phones browsers and their desktop variations. Notice a difference between mobile phones and desktop browsers, that is a main reason for phonegap sluggishness.