You're right, I should add manual installation instructions back in. Had it there at one point, but then got it up on Packagist so Composer install would work and I replaced it instead of augmented the instructions. I'll get that remedied soon-ish.
The beauty of auto-loading is that you can place those files anywhere on the system you want (maybe app/ThirdParty?). Then you just have to tell the autoloader where to find it by editing app/Config/Autoload.php and add the Myth\Auth namespace to the $psr4 array.