Lambda the Ultimate

I'm trying to learn lisp. I've been reading some of Paul Graham's stuff and he has convinced me of its coolness :) So anyway, I'm totally lost. I'm using gcl (Gnu Common Lisp) under Gentoo. I tried to get sbcl and cmucl but they didn't compile. My basic issue is simple - how do I make a binary executable with gcl? My test program is just this.

(format t "hello lisp")

This file is called 'hw.lisp', I've managed to create an object file but do not know how to link it to make a binary. I'm just doing this in the interactive gcl session

(COMPILE-FILE "hw.lisp")

Now that gives me the 'hw.o' file but how to link it? Or is there a way to just go straight to the executable? I've looked online but the gcl docs are rather sparse.