The official document seems to no longer be current - this worked for me.
Brand new Ubuntu 16.04 installation:
git clone https://github.com/input-output-hk/cardano-sl.git
cd cardano-sl/
git checkout master
curl https://nixos.org/nix/install | sh
sudo vi /etc/nix/nix.conf
and add these lines;
binary-caches = https://cache.nixos.org https://hydra.iohk.io
binary-cache-public-keys = hydra.iohk.io:f/Ea+s+dFdN+3Y/G+FDgSq+a5NEWhJGzdjvKNGv0/EQ=
nix-build -A cardano-sl-tools --cores 0 --max-jobs 2 --no-build-output --out-link master
nix-build -A connectScripts.mainnetWallet -o connect-to-mainnet
and run:
./connect-to-mainnet