It seems like the nginx package in debian wheezy apt-get is old and only goes up to 1.2 whereas the latest version is 1.4
Do I really have to build it from source or is there a way to get the latest version from apt-get another way?
Debian packages are significantly behind the bleeding edge. This is by design.
The folks at upstream prioritise stability over keeping in-line with the newest versions. 1.2 might be old, but it's not likely to break much any time soon.
If you feel particularly brave, you can switch to the unstable or testing branches of debian (which Wheezy now is not, having just been released :D) by editing
There are ways to avoid updating the entire system, and still upgrade one package via apt-get, but the risk involved in this is quite high, and it's not likely to work. If you think you've got all the dependencies, you might try building from source; take a good look at the output from