I’ve been there, installing the CMC is a bit of a nightmare 
.
There is maybe no documentation because to install the CMC, you need to perform an installation and submit a proposal. By extension, you also need the Governance canister, which similarly requires both an installation and a proposal. Additionally, both depend on the ICP ledger. In summary, it needs three canisters and two proposals being executed.
Therefore, if you don’t want to spend time writing deployment scripts and you’re already using dfx, the dfx nns install command might be a more straightforward option.
However, if you really, really want to set up this canister yourself, and while it is not a documentation, you can take a look at how I handle it in Juno Docker - more precisely the CMC and Governance modules. Maybe it will provide you with some information on the process.