So far I came up with two different ways:
const char *s;
s = luaL_checklstring(L, 2, &len);
u = lua_newuserdata(L, len);
memcpy(u, s, len);
If you plan to pass a string to C string routines you have to copy the null character.
u = lua_newuserdata(L, len+1);
memcpy(u, s, len+1);
I assume the Lua string does not contain any null characters, or the C routines will stop processing in the middle of a Lua string. If you want to process null characters as part of strings you may have to write your own code.