Jerzy> [...] I don't have any 'libgsl.so' or 'libgsl.a' in
    Jerzy> /usr/local/lib. Can you give me examples of what could I have
    Jerzy> done wrong?

I just did your exact steps (on ubuntu 18.04 in this case; I'll try it
later on my debian and red hat systems): download, ./configure; make -j;
make install) and when I type:

$ find /usr/local -name '*gsl*so*'

I get this:

$ find /usr/local -name '*gsl*.so*'
/usr/local/lib/libgslcblas.so.0
/usr/local/lib/libgsl.so
/usr/local/lib/libgsl.so.23
/usr/local/lib/libgslcblas.so.0.0.0
/usr/local/lib/libgslcblas.so
/usr/local/lib/libgsl.so.23.1.0
$ 

Could you run

find /usr/local -name '*gsl*.so*'

on your system and send that to me?

Also can you report if the "make install" step exited cleanly or with an
error status?  One way to find out is to look carefully at the output;
another is to type

echo $?

first thing *immediately* after the "make install".

You could also run:

./configure
make -j YOUR_NUMBER_OF_CORES
make install 2>&1 | tee makei.out

and send me your makei.out file.

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