I just finished playing with some nCipher’s HSM. Unfortunately there is no integration guide for OpenSSL that cover CHIL interface and nCipher hardware security modules.
nCipher’s installation guide is quite good, but after you finish installing hardware, drivers and daemons, you are on your own.
I found only two helpful sources: Andrea Campi’s blog entry about nCipher NetHSM and OpenSSL and Marek Marcola’s post on openssl-users mailing list.
Both guides ends on key generation and self-signed certificates. Its enough to get CHIL enabled application to work with nCipher’s HSM, but will not help you to convert any existing OpenSSL (not an CHIL-aware) application to use HSM.