To build new LokiComponents (or use existing ones), the Loki_Components module and its dependencies need to be installed. Here are the steps.
composer require loki/magento2-components
bin/magento module:enable Loki_Components Loki_Base Loki_CssUtils
As you can see, the Loki_Components module has a dependency with Loki_Base and Loki_CssUtils which might be useful as well, outside of the scope of Loki Components (as in: AJAX-capable Alpine.js components).
From this point onwards, you can build your own Loki Components.
We also have some example components available that show the functionality of Loki Components:
composer require yireo-training/magento2-example-loki-components
bin/magento module:enable YireoTraining_ExampleLokiComponents
This adds a new menu in the footer, from which you can navigate to pages with examples for simple forms, notifications, template switchers, modals and more.