I used a script to install ImageMagick http://github.com/masterkain/ImageMagick-sl
After a while, I got ImageMagick installed.
Then I ran sudo gem install rm
On CentOS 5.7, I got it to work by first specifying PKG_CONFIG_PATH:
PKG_CONFIG_PATH
export PKG_CONFIG_PATH=/usr/local/src/ImageMagick-6.7.5-10/magick/ gem install rmagick