There is no automatic setup available for Linux.
No additional setup is required for most Linux systems.
You may need to install g++ if it is not present already, and if you intend to compile 32-bit applications from a 64-bit distribution, you will also want gcc-multilib and g++-multilib, or their equivalents.
If you build Lime from the source, you will also need libgl1-mesa-dev and libglu1-mesa-dev
You can only target Linux from a Linux system right now. If you are interested in contributing to cross-desktop builds to Linux, please open a topic on the forums.
If you encounter problems setting up OpenFL to compile on Linux, please visit the forums.