Never remember that myself (do it very rarely) but found this SO question that answers just that.
A colleague also tested the Win version and all went well (see this thread).
I will update soon the Readme page of GMT.jl
Thanks for your help! For now I think I will still stick to the latex tikz solution, but I will try to get GMT work later. I thought GMT is exclusively used for creating maps, but now I notice it is very powerful.
Yes, it does a lot more than just mapping. Just to finish this, I also have this (had forgotten) in the Readme. It was meant for OSX but should apply the same for Linux (when it needs)
On OSX, with a manual GMT build and dependencies obtained with Homebrew (that are installed at /user/local/lib), I had to help Julia finding MY libgmt.dylib, with (this line should than be added to the ~/.julia/config/startup.jl file) push!(Libdl.DL_LOAD_PATH, "/Users/j/programs/gmt5/lib")