After installing PostgreSQL 9.4 and PostGIS following An Almost Idiot's guide to installing PostgreSQL, PostGIS, and pgRouting, on my CentOS 6.7 64-bit except replacing 9.3 references with equivalent 9.4 reference, I then proceeded to install ogr_fdw. To my disappointment, there are no binaries yet for that, which is not surprising, considering there aren't generally any binaries for any OS, except the windows ones I built which I will be packaging with PostGIS 2.2 windows bundle. Getting out of my windows comfort zone, I proceeded to build those on CentOS. Mainly because I have a client on CentOS where ogr_fdw I think is a perfect fit for his workflow and wanted to see how difficult of a feat this would be. I'll go over the steps I used for building and stumbling blocks I ran into in this article with hope it will be of benefit to those who find themselves in a similar situation.
UPDATE pgdg yum now has ogr_fdw as an offering. If you are on PostgreSQL 9.4, you can now install with :
yum install ogr_fdw94