Install 3rd party module and build NGINX debian (.deb) package. Following is guide for nginx_upstream_check_module

Installing 3rd Party Nginx module with apt-get

#Install dpkg-dev and package dependencies
sudo apt-get install dpkg-dev
sudo apt-get install software-properties-common
sudo apt-get install python-software-properties
sudo apt-get install init-system-helpers

#Add repository:
sudo add-apt-repository ppa:nginx/stable

#Edit /etc/apt/sources.list.d/nginx-stable-lucid.list, add dpkg-src (no need if ubuntu verson >= 12.04):
deb http://ppa.launchpad.net/nginx/stable/ubuntu lucid main
deb-src http://ppa.launchpad.net/nginx/stable/ubuntu lucid main

#Resynchronize the package index files:
sudo apt-get update

#Get sources:
apt-get source nginx

#Build dependencies (https://launchpad.net/ubuntu/precise/+source/nginx):
sudo apt-get build-dep nginx
sudo apt-get install libgd2-noxpm-dev

#Compile module:

#download module from here https://github.com/yaoweibin/nginx_upstream_check_module

cd /path/to/NGINX
patch -p1 < /root/nginx_upstream_check_module/check_1.2.6+.patch
./configure --add-module=/root/nginx_upstream_check_module
make
make install

#add following line to rules file (/path/to/NGINX/debian/rules)
config.status.full: config.env.full
...
--add-module=path/to/nginx_uploadprogress_module #copy space from other module path and add \ at end like other module path

#Build package:
cd /path/to/NGINX
dpkg-buildpackage -b

#Packages(.deb) files will be created at / location (not in the NGINX source directory)

#Install packages:
dpkg --install nginx-common_*.deb
dpkg --install nginx-full_*.deb

#Check list of installed module
nginx -V