If you are using Gradle, you can add it as a compile
dependency.
Instructions
Make sure you have the Android Support Repository
SDK package installed. Android Studio automatically recognizes this repository during the build process (not sure about plain IntelliJ).
Add the dependency to {project}/build.gradle
dependencies {
compile 'com.android.support:appcompat-v7:+'
}
Click the Sync Project with Gradle Files
button.
EDIT: Looks like these same instructions are on the documentation under Adding libraries with resources -> Using Android Studio
.