I build the app. Now I have a build folder, as you can see here:

I create a new folder within the "cluster" folder. The folder is named "update/download". Into that folder I put the NBM file:

Now I run the app, i.e., still in development mode. I see the Updater dialog when the app starts. I can see the module is installed because, in this case, I can play the Space Invaders game.

When I look in my app folder structure in the Files window, I can see that the NBM file has been unpacked in my development user directory, with all requisite files having been created automatically:

So, now, when I create the ZIP distro, I see my NBM file is included, just like any other module that I created myself, even though I don't have the sources of the Space Invaders game:

So now you can head off to the NetBeans Plugin Portal and include any NBMs you find there in your distro!