You can either create a new environment using Anaconda3 and download it via conda install -n vep -c bioconda ensembl-vep or install every dependencies manually as described below. I used root user for installation.
Cache files can be huge. You may need to use wget -c or other tools to continuously download them. Otherwise, it may report an installation error when you have any internet interruption during installation.
You can install Plugins manually too. Please read the official document. You may need to chmod 777 ~/.vep to authenticate any modification of the vep file. Otherwise, it will report an error when you install plugins.