Debian finally has a ModSecurity package ready for use in the repository. However, using it with Nginx requires a few steps, which it took a while to figure out.

# Create a work dir for the compilation process
$ mkdir modsecurity-tmp

# Install modsecurity
$ libmodsecurity3 libmodsecurity-dev

# Fetch sources
$ git clone --depth 1 https://github.com/SpiderLabs/ModSecurity-nginx.git
$ apt-get source nginx-full

# Figure out the necessary configuration options
$ /usr/sbin/nginx -V

$ cd nginx-[version]