The easiest way to use console_bridge is to install it from binary packages (sudo apt-get install ros-groovy-console-bridge).
If you want to build it from source, note that console_bridge is NOT a catkin project, but rather a pure CMake project. You should keep it separate from a catkin workspace, build it with CMake, "make install" it somewhere, and then make sure that when you build code against it, that it can be find_packaged() by CMake (i.e. console_bridge and it's .cmake file need to be findable through CMAKE_PREFIX_PATH environment variable).
Hope that helps, let me know if you need clarification.
Edit:
mkdir cb_ws
cd cb_ws
git clone https://github.com/ros/console_bridge
mkdir build
cd build
cmake -DCMAKE_INSTALL_PREFIX=../install ../console_bridge
make install
This will create a folder called install within the folder cb_ws.
Inside the install folder you'll see:
include/
lib/
share/
Within "share" you'll see the generated file console_bridge.cmake. This is what cmake uses to figure out where console_bridge is installed (which is cb_ws/install). Your CMAKE_PREFIX_PATH variable needs to point to the folder that contains this file so taht CMake can find it and determine -I flags (in this case cb_ws/install/include), -L flags (in this case cb_ws/install/lib) and -l flags (in this case libconsole_bridge.so which to the compiler will be "-lconsole_bridge").