Adrian is right- I tried to keep my book fun and about Lisp and didn't think a discussion of IDEs was fun or informative about Lisp. However, this has tripped up some readers, so the second printing coming soon will have some limited discussion of these issues, and lisp file handling as well, to get people started in the right direction.
Please leave a hint here or at /r/lisp when this second printing becomes available. Thanks. My personal preference would be to not include IDE-specific info into the printed book at all (other than maybe mention Emacs+SLIME as a de facto standard) but to make them available as webchapters only.
Also, if I may add, I think that using snipurl.com as a URL shortener in a printed book, for example for pointing to the Hyperspec, was a really bad idea. snipurl.com, like any other link shortener, may be short-lived and going out of business over night (think of tr.im), rendering all the printed links useless and seriously devaluing your book. So if there is any chance to change this for the second printing, by god, remove the link shorteners from the printed text! Anything, footnotes or a references page at the end with full URLs, is better than this.
You definitely kept your book fun, and thank you for writing it. Though some mention of Lisp files would be handy. You sort of have to figure it out on your own now, or get through the entire book in one long REPL session.
-Conrad Barski