I copy-pasted the Oraclize contract into my Truffle and I was able to migrate the contracts to Kovan by running a Parity node locally. Were you running an account that had Ether on it?
Looking at the Truffle docs, there is an EthPM registry that they suggest to install dependencies using: http://truffleframework.com/docs/getting_started/packages-ethpm. On EthPM, I see there is a Oraclize package. I tried truffle install oraclize
, but it didn't seem to do anything. I am not sure if this feature is properly working.
Edit: truffle install oraclize
indeed is working and puts the contracts into a directory called installed_contracts
.