If you're installing a VRCFury-ready prefab from an artist, stop here! Since their prefab is already setup for VRCFury, you don't need to set up your own components!
Select your main avatar object, or the prop you are trying to setup, then at the bottom of the Inspector, click Add Component -> VRC Fury.
Add features using the + button on the component. See the Components section for information about each one.
You're done! There's no "building" to do. VRCFury will non-destructively update your controllers, VRC menus and params automatically before each upload, or when you enter play mode.