Sure, you can use
dzil install, which builds, tests, and
installs the distribution. That's too slow though—by the time the normal
CPAN shell has loaded its indexes,
cpanm has often finished.
I've already spent more time writing this post than it took to write this silly little shell alias:
alias dzinstall='dzil build; cpanm install *.tar.gz; dzil clean'
Sure, you have to manage your distro with dzil and you have to have
cpanm configured to use the correct Perl and you can't have any
other tarballs in your directory, but this works really well for me.