compiling your own nginx is not trivial and I would
not recommend it for everyone
Yes, this is frustrating as an nginx module developer as well. Apache has a loadable module system and we can ship binaries, but to add a module to nginx you have to recompile.
Nginx's developers have been hinting that they're going to add support for loading .so modules, and I really hope they do!
Also, runtime behavior depends on the order of --add-module compilation flags! Got bitten by this when sub_filters weren't working... and then I realized that the order in which [un]gzip and sub_filters are applied isn't driven by the order of the directives in the config file, but by the compilation string - the substitution filtering was being done on gzipped gibberish!
This was probably a Good Idea (tm) for performance reasons - filtration is just a compile-time linked list of function calls. But it's barely documented at all!
Nginx's developers have been hinting that they're going to add support for loading .so modules, and I really hope they do!