You need the DoomRL WAD compiler, which I've packaged
here, together with the necessary lua compiler needed (don't worry about running that file). In order to compile a WAD, you'll want to put these files in your DoomRL base folder, then run this command in your console at your DoomRL base folder:
drlwad mod_name
This would compile, for instance, your mod_name.module and save it into mod_name.wad.
You don't need to compile your modules in order for other people to run them, though. It's a little annoying because, at the moment, you have to include all of the run-time code in the main.lua file (this, among other modding issues, will be fixed in 0.9.9.5).