So I did not do any compiling at all. And it does run just fine from the command line.
FWIW, it works here with the latest RubyMate, but I'm using Ruby 1.8.4_2 from DarwinPorts and I built rubycocoa from the latest CVS source.
Disable Word Wrap RubyMate r3762 running Ruby v1.8.4.
~/Code/rubycocoa/sample/HelloWorld.rb
just wait...<NSWindow: 0x1129480>Hello, World! Hello again, World! Program exited normally.
Chris