Add foolproof local build instructions

[codefromthecrypt]

In other zipkin projects, the local development story includes how to build and run the project from source.

Ex.
https://github.com/openzipkin/zipkin-dependencies#building-locally
https://github.com/openzipkin/zipkin/blob/master/zipkin-server/README.md#building-locally

Right now, our instructions lead people to a common error, which is downloading the server jar into the same directory as the module (which fails to run). We need to correct that as it is clearly possible to use a script or copy/paste instructions to avoid this.

[aliostad]

You mention build but do you actually mean running locally (in which case is duplicate of #7)? The example you showed actually does both build and running.

[codefromthecrypt]

This is details for how to be consistent with other project, and #7 is an overall tracking issue for the various dev experience things including this one. Notice it has a tick box for this.