Start with this FAQ. The process for using custom code is pretty straightforward, basically you will copy the authors code and paste it into your own account. But the FAQ will explain the concepts, the terminology, and the steps in the process. 
So the next question is where do you find the code to copy? Usually the fastest way is to use the quick browse lists in the community – created wiki. In this case you would look on the HVAC list to find custom code for thermostats.
Some devices will require both a device type handler and a smart app, but if that’s so, the discussion thread will tell you.
Also, if you are trying to connect with a third-party service, which is how the Nexia works, there will be a little more to it because you will probably have to edit the code so that it has the user ID and password for your own account on that service rather than for the original author’s. But again there will be instructions in the thread.