Refer to Teensyduino instructions
to set up the development environment.
When compiling using Arduino IDE, remember to set the mode to "Serial + MIDI".
Note: the "Serial + MIDI" mode was
added recently
and as of this writing is only available in the
beta version of Teensyduiono.
Also check out this template
for using make and a text editor of your choice for comiling TeensyUSB code.