There are a couple of steps needed when building for Arduino. Most notably I will point out we have only ever tested the following on Intel Galileo board. We have not ported to any other platforms using Arduino.
You stated you only desire to use AES encrypt and decrypt, is this the only functionality you need? Are you not doing any TLS?
If this is the case you should be able to compile a select subset of our libraries which means you would only place the following four files in the <wolfssl-root> directory and then copy the root directory into the search path for Arduino.
If that is not the case and you intend to do a full build then the steps are just about as simple as the README implies. I will try to simplify more:
In arduino IDE hit File->open
By default you should be looking at a directory containing a folder named "libraries"
Note where that folder is located.
Now take wolfssl download.
If your download has "wolfssl-x.x.x" as the name, rename it to simply "wolfssl". I will refer to this directory as <wolfssl-root>, it just means the top-level wolfssl directory as we also have a directory inside the root directory named "wolfssl".
copy/paste the entire <wolfssl-root> directory into the "libraries" directory, not at the same level.
You should now have:
now follow the steps in the README for moving all the .c source files to the root directory of wolfssl and building the libraries.
Make sure you have the correct settings
In the Arduino IDE check Tools -> Board
by default this is set to something like "Arduino/Genuino Uno" if that is not the board you're building for then select the correct board. If you do not see the board you are looking for then select the "Board Manager" option and find the correct board support and install it. Then restart the IDE and again go Tools -> Board and find your board.
If you have any further trouble let us know.