Download needed packages for building OpenSSL:
apt-get build-dep libssl0.9.8 apt-get source libssl0.9.8 cd openssl-0.9.8c
Then you have to alter the debian/rules file so as to disable the zlib during compilation.
CONFARGS = --prefix=/usr --openssldir=/usr/lib/ssl no-idea no-mdc2 no-rc5 no-zlib
Next you can start the build process:
dpkg-buildpackage -rfakeroot -b cd .. dpkg -i libssl0.9.8_0.9.8g-8_amd64.deb openssl_0.9.8g-8_amd64.deb
The custom version is installed. You now have to prevent future updates from overwriting your custom versions:
root@sso-fe01:~# dpkg --set-selections openssl hold libssl0.9.8 hold ^D
Of course, this means that when new openssl versions are released they won't be automatically installed. You have to repeat this process each time, specially since they tend to be security updates.