Create a new heroku app.

Start a bash session:

$ heroku run bash --app my_app

Download build-openresty.sh to the current directory:

$ curl -O https://raw.github.com/leafo/heroku-openresty/master/support/build-openresty.sh

Run the script:

$ sh build-openresty.sh

Copy the result build.tar.gz to your computer (somehow).