Compiling a cutting edge program for a distribution is somewhat of a roll of the dice. It may work flawlessly and it may run into numerous dependency issues with the compiler, libraries, etc. This is one of the real advantages of a package repository, but as you are finding on the downside you may be missing new features.
What I would suggest is to see if your package maintenance program can download the development dependencies for the program you want and also give you a list of what those are. See if you can build the one supported by your distribution and when you can verify the ability to do that, then move on to trying the newer version.
Sometimes in the ./configure process, you can add a switch for your distribution that will cause it to place files in the default places. This is probably one of the harder parts. Aside from that, installing you own program more than anything amounts to moving the binary to the proper location, such as /usr/bin or /usr/local/bin, along with any libraries, the man pages, etc, and creating an application launcher if one exists.
To maintain backward compatibility in the appropriate bin file, create a symbolic link, eg, mysql, that points to the version of interest. This way, you can revert back to the packaged version if you choose to at a later date.
A quick search isn't showing much by the way of compile how-to docs but do take a look at
this one. Be sure to read the re: (reply) linked a the bottom, which will take you to a reply with a link on the MySQL forum. It talks about some of the library dependencies and using ldconfig. It is something to be aware of at least.
