HsShellScript integrates itself in GHC's package management system during installation. Therefore all that is needed for using it, is adding -package hsshellscript to GHC's command line when compiling or linking.
When you write shell scripts with HsShellScript, you need to compile them. You probably won't want to set up a new project with makefile and stuff for each little script you write. The section An Example Makefile for Your Hakell Scripts contains an example of how to set up a build infrastructure for several scripts.