I use the following commands and it works:
go get github.com/mholt/caddy/caddy
cd $GOPATH/src/github.com/mholt/caddy
git tag
Use the highest version number (at the moment v0.11.0)
git checkout -b "adding_plugins" "v0.11.0"
go install github.com/mholt/caddy/caddy
Now you have in $GOPATH/bin the compiled caddy file.