Is there something wrong with my Perl (v5.8.0)

Yes, many many things detailed in the various perldeltas

or did I miss anything?

Yes you did. When you say -lsay_hi this means look for libsay_hi.a which maybe links to libsay_hi.so , or maybe is a static library

You're missing libsay_hi.a

Another tip is use

use Cwd();
use Inline C => Config => BUILD_NOISY => 1, CLEAN_AFTER_BUILD => 0;
use Inline CPP => <<'END', NAME => 'doodle', INC => "-I.", LIBS => "-l
+say_hi";
#include "say_hi.h"
void test(){
    return say_hi();
} 

END
test();
__END__
[download]

and then examine doodle directory to work out whats what .