Example of a working setup:
$ cat app/assets/javascripts/application.js
//= require jquery
//= require jquery-ui
$ cat app/assets/stylesheets/application.css
/*
*= require vendor
*
*/
$ cat vendor/assets/stylesheets/vendor.css
/*
*= require_tree ./jquery_ui
*
*/
vendor/assets/ $ tree
stylesheets
vendor.css
jquery_ui
jquery-ui-1.8.13.custom.css
...
images
jquery_ui
ui-bg_flat_0_aaaaaa_40x100.png
...
Finally run this command:
vendor/assets/images $ ln -s jquery_ui/ images
Enjoy your jQuery UI