1) Download the VHD from LCS and deploy it in your local infrastructure.
2) Login to the VM with RDP.
3) OpenReporting Services Configuration Manager. 
4) On Page Database, click Change Database -> Choose an existing report server datase -> Next -> Set Server Name: to 'localhost'. Test connection. It should now be ok. Save your changes.

5) In VSTS, create an Access token (similar that you need when linking an LCS project to your VSTS project) and copy the token for further use.

6) On the VM, go to C:\DynamicsSDK folder.
7) Edit SetupBuildAgent.ps1: 
- Add your VSTS project URL to $VSO_ProjectCollection variable. Change attribute Mandatory to false (otherwise the script will prompt you for input when it's executed).
- Add the Access token to $VSOAccessToken variable. 
8) Edit BuildEnvironmentReadiness.ps1: 
- Add your VSTS project URL to $VSO_ProjectCollection variable. Change attribute Mandatory to false.
- Add your VSTS project name to $ProjectName variable. Change attribute Mandatory to false.
- Add the access token to $VSOAccessTokenVariable.
9) Execute SetupBuildAgent.ps1.
10) Execute BuildEnvironmentRediness.ps1.
Now you should see the build definition in VSTS, as well as the build agent queue. Now test the build process by "Queue new build...".