Modules in Sitefinity are now indeed different from the previous 3.7 version. There are actually several ways to extend Sitefinity with custom modules, and it really depends on your needs.
The easist way is to simply use the module builder (see Creating and using custom modules
in the docs) which creates custom data types that inherit from Content (the basic Sitefinity type) and therefore plug right into the Sitefinity environment. This means you get everything that a regular sitefinity module has (admin interface, permissions, etc) out of the box.
If you are needing a module that works with custom code and data, you can acheive this with an Intra-site module. This allows you to wrap your logic and code into user controls, and install them into the backend pages of Sitefinity so they exist alongside the rest of the sitefinity admin.
For more information on that, take a look at the Create a Testimonials intra-site module
Hope this is helpful!