It's not hard, but it takes some command-line mojo for configuring. I wanted to build everything in a test directory, not spray things into /usr/local. The following is based on the current sources as of today; your milage will vary.
cd libgpg-error-1.6
./configure --prefix=/path-to-gtls/work
make; make install
cd libgcrypt-1.4.2
./configure --prefix=/path-to-gtls/work --with-gpg-error-prefix=/path-to-gtls/work
make; make install
cd libtasn1-1.5
./configure --prefix=/path-to-gtls/work
make; make install
cd gnutls-2.5.4
./configure --prefix=/path-to-gtls/work --with-libgcrypt-prefix=/path-to-gtls/work --with-libtasn1-prefix=/path-to-gtls/work
make; make install