\newwrite\luadebug
\immediate\openout\luadebug luadebug.lua
\AtEndDocument{\immediate\closeout\luadebug}
\newcommand\directluadebug{\immediate\write\luadebug}

\LuaCodeDebugOn

\documentclass{article}

\usepackage{fontspec} % always include
\usepackage{luacode} % required for luatexescapestring
\begin{document}

\section{Direct Lua}
$\directlua{tex.sprint(math.pi)}$
$\directluadebug{tex.sprint(math.pi)}$

% manuel pegourie-gonnard instructs that the cleanest luacode is that which is 
% included as a file
\directlua{dofile("my-lua-functions.lua")}
\newcommand*{\greatmacro}[2]{%
  \directlua{tex.print(my_great_function("\luatexluaescapestring{#1}", #2))}}


\greatmacro{hello}{6}

\section{LuaCode}

\luaexec{texio.write_nl("line one\string\nline two")}

\begin{luacode}
a = "\\" -- a contains a single backslash
b = [[\\]] -- b contains two backslashes
c = "\\\\" -- c contains two backslashes too
\end{luacode}

\end{document}