<EDIT: Kilkrazy beat me to it>, but luckily making a board is pretty easy!
First thing is to decide what you want from your modular boards. Do you want each one to be fully sculpted? Nice idea but having done this myself storage is a complete PITA

If you have somewhere to keep them, great but otherwise I'd steer clear.
Partial sculpt (similar to what
GW have done with the
RoB boards) is basically tiles with hills on. This gives you an initial amount of scenery that you then add to.
Flat boards have the advantage of easy storage, but if they're completely flat, why do you want modular at all?
As for holding things together, there are a whole range of options but nothing beats sticking your modular tiles on a bigger board. Although this sounds like its defeating the object of the exercise, a flat board is very easy to store, especially if cut in half and hinged. Put your bigger board on a table/tressles/pasting tables/etc and then your textured boards on that and you're good to go.
Finally, texturing is just a case of a big tub of PVA glue (you can get 5l tubs from B&Q for £10) and sand (available from the same shop for <£2). Go in stages, painting on the glue and scattering sand. Let it dry and knock off the excess then do the next section. You will be able to do 2' x 2' sections in one go. When the sand is dry, water down the PVA (about 50/50) and paint over the sand to seal it. Finally, get a tin of emulsion the right colour (you can even colour-match to a pot of
GW paint if you want a specific colour) and paint over that before drybrushing and/or flocking.
Hope all this helps, good luck with board!