As you already found out the Dumps of wikidata are readily available and can be downloaded and unzipped in a few hours. Getting a proper RDF database server running with such dumps is another story.
At http://wiki.bitplan.com/index.php/Get_your_own_copy_of_WikiData you'll find the description of some successful and failed attempts as well as Performance reports.
Importing WikiData dumps is a moving target. Something that works today in a certain environment might not work in a few weeks or months.
As of 2020-06 a successful import has been reported by Jonas Sourlier in https://issues.apache.org/jira/browse/JENA-1909
Please note that Jonas has switched the loader to the more recent one just as i did. My recent attempt described in https://issues.apache.org/jira/browse/JENA-1908 failed.
I hope the fourth attempt I am currently describing will be successful and you could then simply follow the procedure described in the wikipage (which I'll copy here once the attempt is successful). Please stay tuned ...
http://wiki.bitplan.com/index.php/WikiData_Import_2020-08-15 reports a successful attempt.