jqm’s data-dismissible attribute will be released in version 1.3 as stated here, although it’s already implemented.
The thing is I need to have this feature in my project now, so can someone please explain how do I incorporate only this attribute support? Can I still link to the CDN and somehow “add” this piece of code or their is no other way but to download the whole “master” branch and then link the files from my server?
This is how I did it in the end:
I found the code that needs to be changed:

So, I downloaded the uncompressed version from the jQuery CDN, then I edited the lines as shown in the image, compressed the js file and uploaded it to my site. Now, I can use the popups like this:
All happy!