The preferred way to start services on OS X is with launchd. Basically, you create a .plist file that describes what needs to be run, and when, and put the file in /Library/LaunchDaemons. The tricky thing is that launchd expects to be able to monitor the daemon, so it doesn't like things that drop into the background; if I understand nexus right, that means running it in console mode rather than "start"ing it as you would on most systems. I think this is about what you'll need to have in the file (you may need to adjust the path to the executable):
<?xml version="1.0" encoding="UTF-8"?>
<!DOCTYPE plist PUBLIC "-//Apple//DTD PLIST 1.0//EN" "http://www.apple.com/DTDs/PropertyList-1.0.dtd">
Save that as /Library/LaunchDaemons/com.sonatype.nexus.plist, set the ownership to root:wheel and permissions to 644. To activate it, either reboot or run the command
sudo launchctl load /Library/LaunchDaemons/com.sonatype.nexus.plist.