I guess this depends on how many recompiled modules you'd like to keep.
If you'd like to keep them all, then you could follow the naming convention Curaga made - i.e. *-2.6.29.1-tinycore.tcz
If you look at the list file associated with Curaga's module extensions, you can see where you need to copy your modules to so that the tc convention is followed. If we take the example of bt-2.6.29.1-tinycore.tcz, the first module in the list file
http://distro.ibiblio.org/pub/linux/distributions/tinycorelinux/2.x/tcz/bt-2.6.29.1-tinycore.tcz.list is:
/usr/local/lib/modules/2.6.29.1-tinycore/kernel/drivers/bluetooth/bcm203x.ko.gz
If you create a folder /tmp/pkg, you could then copy all of the modules from wherever they were installed (probably under /lib/modules/..) to /tmp/pkg so that, using the same example, the first module would be:
/tmp/pkg/usr/local/lib/modules/2.6.29.1-tinycore/kernel/drivers/bluetooth/bcm203x.ko.gz
..take care that you keep the correct permissions whilst copying by using "sudo cp -p"
Once you've finished copying your modules to /tmp/pkg, you then do this (following the same example) to make your extension:
$ cd /tmp
$ sudo mksquashfs pkg/ bt-2.6.29.1-tinycore.tcz