Quoting from the documentation:
Evan Miller has written the definitive guide to Nginx module development.
But some parts of it are a little out of date. You've been warned.
A github search turned up the Nginx Development Kit. It seems to be
more up to date.
From my own personal experience, Evan Miller's guide was of a great help. You must also have a deep understanding of how NGINX works. Agentzh's tutorial can help you.
Reading the source code of his modules is always helpful too.
There is also a video tutorial that I haven't check yet, but it seems nice.