Whilst PCW's recipe above got me onto the PREEMPT_RT kernel about 5 years ago, there is little reason to do it today as there are patches available which can apply the kernel without compilation.
Tommy does a good job documenting the process forĀ Mint 19.3 here
forum.linuxcnc.org/9-installing-linuxcnc...nd-easy-installation
It works and can be done in minutes not hours.
But being able to compile the kernel is pretty cool