The complete list of gems in Azure Ruby SDK could be found here. Each gem, in the list, could be installed directly such as:
gem install azure_mgmt_compute
gem install azure_mgmt_storage
gem install azure_mgmt_resources
gem install azure_mgmt_network
Or use them in your Gemfile.
gem 'azure_mgmt_storage'
gem 'azure_mgmt_compute'
gem 'azure_mgmt_resources'
gem 'azure_mgmt_network'
Alternatively, you could use gem install azure_sdk or gem 'azure_sdk'(in the gemfile) to install all the associated azure gems.
Be aware the Azure Resource Manager Ruby SDK is in preview and will likely have breaking interface changes in upcoming releases. An increased number in Minor version may indicate breaking changes.