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Though SBCL can be used running “bare”, the recommended mode of development is with an editor connected to SBCL, supporting not only basic lisp editing (paren-matching, etc), but providing among other features an integrated debugger, interactive compilation, and automated documentation lookup.
Currently SLIME1 (Superior Lisp Interaction Mode for Emacs) together with Emacs is recommended for use with SBCL, though other options exist as well.
SLIME can be downloaded from http://www.common-lisp.net/project/slime/.
[1] Historically, the ILISP package at http://ilisp.cons.org/ provided similar functionality, but it does not support modern SBCL versions.