@James & @ommunist - if those tools are giving you trouble setting up, you can go straight into the command line.
If you're on a mac/linux installing sass is super easy. Open up your Terminal and use:
gem install sass
(you might have to do sudo gem install sass)
If you're on windows, you'll need to install Command Prompt with Ruby, then run the command through that program

Once you're installed, you just cd to your working directory and compile your sass files with the 'sass' or 'sass --watch' commands as described here: http://sass-lang.com/documentation/file.SASS_REFERENCE.html#using_sass

Have your theme enqueue the CSS files and you'll be running smooth :D