The instructions in the Android first-app tutorial (as of 20150408) are kind of confusing. I think something got lost in translation with the adding of Android Studio to the mix.
Both the creating a project and running an app have instructions for using the command line, rather than the IDE (which is great, because I'm curmudgeonly like that). Unfortunately, if you use the command line options for creating a project, you end up with an Ant based build system set up, and not a Gradle based build system. Which conveniently means that the command line instructions for running an app make no sense at all.
So, since you probably want a gradle based build, I suggest using IDE once off to create the project, and then you can follow the instructions for running an app from the command line.
PS: Make sure you are connected to the interwebs the first time you run gradlew
as it needs to download a bunch of stuff before it can start.