Thanks for posting this.
After reading the documentation a little, I noticed on the Direct3D 12 programming environment set up page they state "The Direct3D 12 headers and libraries are part of the Windows 10 SDK".
I did a little digging and it turns out Microsoft quietly released a preview version of D3D12 with the "Windows SDK for Windows 10", available at step 3 of the instructions here.
The build date on the installed D3D12.h/D3D12.lib is 13th March.
The Windows SDK is for build 10041, so you probably need the matching Win10 Tech Preview build 10041 to go with it (available here ). I haven't installed VS2015 CTP6 yet to verify D3D12 apps can build/debug correctly, but it certainly appears you can start writing/building/debugging D3D12 projects right now. Note you probably also need a WDDM 2.0 graphics driver installed to run/debug D3D12 applications (dxdiag in win10 to check WDDM version).
UPDATE:
It looks like you only need to install "Visual Studio Tools for Windows 10 Technical Preview", rather than the Windows SDK, to get the D3D12 headers. The tools download also includes the sdklayer and warp driver. The Windows SDK appears unnecessary.
So the install order is: Windows 10 Technical Preview, VS 2015 CT6, then Visual Studio Tools for Windows 10 Technical Preview. That's all you need to start building D3D12 apps. You also don't require a WDDM 2.0 graphics card to get started, although the D3D12 warp driver will get pretty slow with any heavy workloads.