Nginx modules are added at build time. To include those modules you'll need to add them to the ./configure line and and redo the 'make' and 'make install'. In the source directory, you'd do something like:
make clean
./configure (... list of desired options and modules)
make
make install
You'll find a complete list of modules here:
http://wiki.nginx.org/ModulesAlternately you can install nginx from the Debian repositories. To do this you should first remove all traces of the source build install. The Debian repository will install nginx 1.6.
Advantage of installing the Debian version is ease of updates (apt-get update && apt-get upgrade will take care of it). Disadvantage is the absence of new features found in more recent nginx versiosn. This is a disadvantange only if you need those new features.
If you use the source installation, you'll need to watch for new updates and manually re-install when a new version is released --this is particularly important when an update contains security fixes.