If you run into the following while installing:
"Unknown Grovel syntax: CFFI-GROVEL::BITFIELD"
You may need to download the git version of CFFI[1]. The 0.10.6 CFFI release doesn't have bitfield grovel support.
[1] http://common-lisp.net/gitweb?p=projects/cffi/cffi.git
I hit the above bug using what I believe was the latest quicklisp distributed version of CFFI.
Edit: Point to the official CFFI git instead of a fork and a patch.
The bitfield patch was merged in the official CFFI repository eight months ago (http://common-lisp.net/gitweb?p=projects/cffi/cffi.git;a=com...)
I have no idea why quicklisp isn't more up-to-date. If you need recent systems, I recommend managing your own set of libraries. Personally I have a "site-lisp" git repository where I include all the systems I use. This is really useful when I need to try bleeding-edge patches.
Edit: I updated http://codemore.org/cl-zmq.html to document this problem.
(As to the quicklisp version being a bit stale, it looks like the last CFFI tagged release is 13 months old. I updated my above post to point to the official git repository.)