Yes, you should follow all steps mentioned in docs. When you'll get a working instance once, you may proceed to any kind of experiments with installation. Using some external LDAP server for Gluu's needs is possible too, but it's advanced subject and is not covered by Community support. You are on your own here. Just note that Gluu stores most of its settings in its own internal LDAP server, and it imports required data structures into it when you run `setup.py`. So you have to provide some compatible LDAP server to it on this stage.