I am not very familiar with CMake and could not use Mondkin's solution directly.
Here is what I came up with in my CMakeLists.txt using the latest version of CLion (1.2.4) and MinGW on Windows (I guess you will just need to replace all: g++ mytest.cpp -o bin/mytest by make if you are not using the same setup):
cmake_minimum_required(VERSION 3.3)
project(mytest)
set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} -std=c++11")
add_custom_target(mytest ALL COMMAND mingw32-make WORKING_DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR})
And the custom Makefile is like this (it is located at the root of my project and generates the executable in a bin directory):
all:
g++ mytest.cpp -o bin/mytest
I am able to build the executable and errors in the log window are clickable.
Hints in the IDE are quite limited through, which is a big limitation compared to pure CMake projects...