Telerik does provide documentation to create a basic custom module in Sitefinity 4.0. The PDF file is installed in the installation folder of Sitefinity 4.0 or you can get an online version here : Sitefinity 4.0 : How to create a basic module
However, it's just for creating a basic module. It doesn't show you how to create advanced modules that involves interaction between various controls etc.,
I've had the same questions for the Telerik Team and they promised to provide few samples when the official version is released.
Hopefully, that helps.