The Pi is merely a computer in ARM arch. All you need to do is to install Haxe (and Neko) and write Haxe programs as you normally do.
For Raspbian Stretch, since it is based on Debian Stretch, its repo should provides you with Haxe 3.2.1. So, sudo apt-get install haxe should gives you a good start.
If you need Haxe 3.4.4, you have to build Haxe from source, read “Building on Linux” in Building Haxe compiler - Haxe - The Cross-platform Toolkit.