Step 1. Burn Bootloader

New MCU comes without any firmware, so to make it recognizable by Arduino IDE you need to burn Bootloader.
Bootloader - is a piece of firmware in your MCU that allows to install new firmware (upload Arduino sketch) using Arduino IDE (or other programmer).
LoRa Soldering board comes with already burned Bootloader. This step is needed if you plan mass production of your own device - plan to put connector or burn MCUs before soldering on PCB.

There are several ways how to burn Bootloader on Atmega32u4. The most easy way:
1) Buy USBtinyISP programmer
2) Solder using wires SPI (SCK, MOSI, MISO), RST, GND, VCC.
USBtinyISP    Arduino Micro holes
      SCK                         D15
     MOSI                       D16
     MISO                       D14
      RST                         RST
     GND                       GND
     VCC                           J6
Connect USBtinyISP to USB. It should power up both boards.
3) Open Arduino IDE
Tools -> Board -> Arduino/Genuino Micro
Tools -> Programmer -> USBtinyISP
Tools -> Burn Boot loader
4) After boot loader is installed disconnect from USB, desolder all wires from LoRa board.
And plug LoRa board in the USB. 
Arduino IDE in Tools -> Port will detect it like /dev/cu.usbmodem1421(Arduino/Genuino Micro).
Now it can be used like ordinary Arduino /Genuino Micro MCU.

Other ways to burn Bootloader were unsuccessful:

I used Olimexino328 board, it is recognized as Arduino Duemilanove. The algorithm was: in Arduino IDE open Examples -> upload ArduinoISP -> now Olimexino328 became programmer -> in Tools select programmer Arduino as ISP -> press burn Bootloader.
And it is not working, I didn't see with oscilloscope any SPI signal coming out.
But Olimexino328 board is compatible with Arduino IDE and working fine with other sketches.
Arduino Uno should work as ISP:

In Arduino installation directory there is Caterina-Micro.hex - that seems to be bootloader hex file, that can be burned into Atmega32u4 using Atmel Flip (Windows) or MacPorts and DFU programmer (Mac)
Both methods gave same result - not enough memory space.

So it was much easier to buy USBtinyISP board from eBay, connect to SPI interface and burn Bootloader without any troubles.