I have been trying to make a custom kernel based on 2.6.11.10
from kernel.org. It boots but works differently (slower) than
my debian 2.6.8 image package kernel version.

Finally I realised that new kernel does load only couple of modules
instead of tens it should. .../modules/2.6.11.10/modules.dep
has been created and it looks ok.

Neither /etc/modules nor modules.conf has been updated
during kernel making process. I've been trying to follow
init process but haven't succeeded to figure out what
is different with new kernel compared to old one.

Should those ...modules and modules.conf updated?
How that can be done automatically and how I ensure
that I won't mess old kernel's module loading process?

If you compile a new kernel that won't change modules.conf. You'll need to edit that manually, but if you compile your hardware in as modules you shouldn't need to edit it since you'll still need the modules loaded for your hardware to work.

If it seems to be running slower than before, chances are you compiled an incorrect module or something and while it's working, it's not using your hardware correctly. Either that or the old kernel was compiled for i686 but you compiled it for generic x86 or something like that. Did you go through a read all the descriptions for the options? It sounds like a lot but you really need to do it to get a good idea of what you're building exactly.

A properly configured and complied kernel will definately run faster and be smaller than the generic kernel that comes with most distros because you're leaving out all of the extra stuff you don't need for your particular machine.

Go back through your kernel configuration setup and make sure you have it configured properly. Sometimes it takes a few attempts before getting it right the first time. Once you've done it a few times, you'll find it's pretty easy and does increase kernel speed and reduce kernel size. Also make sure you don't skip any steps when compiling (such as make modules_install)