First, add the Assets folder located at https://github.com/KhanKhuu/Thumbstick/tree/master/Thumbstick to your project. You could also just save the images "knob" and "white circle" to your Desktop and drag them into your project's existing Assets folder (probably easiest). The package doesn't contain the images (Swift packages don't support carrying Assets) - but this package uses them.
[ Optionally, you could use your own custom images for the joystick by just modifying the image-adding lines in the Thumbstick.swift and SampleViewController.swift files. ]
Now, build the project with the SampleViewController.swift file. Now you can just use it as a template and add your code. Enjoy!