php.net provides a pretty good all-around tutorial on compiling PECL-style extensions. This is how you'll install xhp.
In my experience, it's really a joy to use. And the safety net that is XHP's automatic, context-aware escaping is a real aspirin-saver.
That said, you can incur pretty hefty penalties for using XHP. Personally, I wouldn't touch it without APC or the like installed. See Lerdorf's anecdote on the topic of performance.
Overall, if you have the time, I'd definitely recommend trying it out. Only data will tell you if it's right for your site, though. And, as always, Google is your friend.