I downloaded the source files, but I don't know how to combine it with Cython. Is there a Cython wrapper for mlpack?
mlpack's build infrastructure will automatically generate Cython bindings; all you need to do is the usual build instructions:
mkdir build && cd build
cmake ../
make && sudo make install
Just make sure that when you configure with CMake, the necessary dependencies are available (the output from CMake will tell you).
You can also see http://www.mlpack.org/docs/mlpack-git/doxygen/build.html for more details.