LuaJIT:
git clone http://luajit.org/git/luajit-2.0.git
make 
make install

Lua: source

curl -R -O http://www.lua.org/ftp/lua-5.2.2.tar.gz
tar zxf lua-5.2.2.tar.gz

lua-ngxin-module:

curl -R -O https://codeload.github.com/chaoslawful/lua-nginx-module/tar.gz/v0.8.10

tar zxf v0.8.10

ngx_devel_kit:

curl -R -O https://codeload.github.com/simpl/ngx_devel_kit/tar.gz/v0.2.18

tar zxf v0.2.18

Nginx:
wget 'http://nginx.org/download/nginx-1.4.2.tar.gz'
tar -xzvf nginx-1.4.2.tar.gz
cd nginx-1.4.2/

export LUA_LIB=/usr/local/lib
export LUA_INC=/usr/local/include/luajit-2.0

./configure --prefix=/usr/local/nginx --add-module=/path/to/ngx_devel_kit --add-module=/path/to/lua-nginx-module
make
make install