You'll need the shared library build of RocksDB installed on your machine, simply run:
make shared_lib
Now, if you build RocksDB you can install gorocksdb:
CGO_CFLAGS="-I/path/to/rocksdb/include" \
CGO_LDFLAGS="-L/path/to/rocksdb -lrocksdb -lstdc++ -lm -lz -lbz2 -lsnappy" \
go get github.com/tecbot/gorocksdb