Cmake is a "project generator". It doesn't actually build any object files etc.; what it does is generate the control files for other tools (such as GNU make) which will build object files, etc.
The advantage of using cmake instead of writing the makefile directly is that, using the same cmake input file, cmake can generate project files for all sorts of different build control tools: in addition to makefiles it can generate Xcode (Mac OS X) project files, Microsoft Visual Studio project files, and control files for other tools like Ninja. If you're writing software that needs to be built on lots of different platforms then cmake is often a good choice.
For your situation, it goes like this: cmake generates a set of makefiles (only). You typically only do this once when you have a clean workspace. Then you run make which uses those makefiles to invoke the compiler as needed, when various files change. The makefiles also have rules to re-run cmake itself if any of the cmake input files change.
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