I have just bought the NR3 code in the hope that I could have retrieved the routine to create a test data set for "15.8.3 MCMC: A worked example", but it is not there.

I believe that, given the title of the book section, a function to create the data should also be provided.. Did I miss it?
If not, could the authors kindly post it?

I have also attempted to code it by myself, but without luck. :(

I understand that this is just a forum.. but the authors should be more present.

The information to create the data is given on p. 833 of the text. It is simple to code this up using the information provided:

#include "nr3.h"
#include "ran.h"
#include "gamma.h"
#include "deviates.h"
#include "mcmc.h"

...

Int k1=1,k2=2,N=1000;
Doub lambda1=3.0,lambda2=2.0,tc=200.0,accept;

Gammadev gdev1(k1,lambda1,17); //17 is a randomly chosen seed
Gammadev gdev2(k2,lambda2,17);
Doub t=0.0;
for (Int i=0;i<N;i++) {
if (t < tc) {
t += gdev1.dev();
} else {
t += gdev2.dev();
}
times[i]=t;
}

This goes where "Fill the vector times here" appears on p.833