Thanks for the feedback :-)
Well, my info relies on this: http://wiki.debian.org/Nginx
furtehr down the page you see a comparison of nginx-light, nginx-full and nginx-naxsi and I need some additional features to nginx-naxsi, i.e. the map and the cache purge feature.
If I found a good tutorial/how-to for compiling nginx by hand I'd be comfortable doing so.
My main concern about manually compiling is that I would have to compile nginx and forgetting to add some "module" I need.
I'm slightly confused about the nginx-extras package, it seems to contain everything. How is it meant to use? Can one install the nginx-extras and nginx-naxsi together and then have all those features available? If so, this would mean no extra compiling would be necessary.