I got this working by following these instructions to create a daemon:

Memcached (Daemon) Installation:

   1. Try to install with yum:
      # yum install libevent

      If this succeeds skip to #5. If this fails, then let's compile.
Download and extract the latest stable version:
      # cd /usr/local/src
      # wget http://monkey.org/~provos/libevent-1.4.12-stable.tar.gz
      # gunzip -c libevent-1.4.12-stable.tar.gz | tar xf -
      # cd libevent-1.4.12-stable

   2. Let's compile:
      # ./configure && make && make install

   3. In the output you should see:

      Libraries have been installed in:
      /usr/local/lib

      If so you can:
      # echo "/usr/local/lib/" > /etc/ld.so.conf.d/libevent.conf

   4. Configure your server for the new install:
      # ldconfig -v

   5. Now find the latest stable memcached, download and extract:
      # cd /usr/local/src
      # wget http://memcached.googlecode.com/files/memcached-1.4.0.tar.gz
      # gunzip -c memcached-1.4.0.tar.gz | tar xf -
      # cd memcached-1.4.0

   6. Let's compile:
      # ./configure && make && make install

   7. Make sure memcached is starts automatically on server boot:
      # touch /etc/rc.d/init.d/memcached
      # echo '#!/bin/sh -e' >> /etc/rc.d/init.d/memcached
      # echo '/usr/local/bin/memcached -d -m 128 -p 11211 -u nobody -l
localhost' >> /etc/rc.d/init.d/memcached
      # chmod u+x /etc/rc.d/init.d/memcached

   8. And finally, let's start memcached:
      # /etc/rc.d/init.d/memcached

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