Direct connection between two SFP+ cables
So can I just make a board with two SFP+ slots wired directly together? 


Given you have only ~1.5 m of cable between the transceivers, it will probably work if they are transceivers designed for short distances (SR type, for example). If these are long-distance transceivers (LR or ER types, or single-mode types), the links may be too short and you might overload the receivers. If the link were very long (say, more than 1/4 the reach distance of your transceivers) there would likely be too much jitter in the cascaded link.


  Both modules would need power. 


Correct.


  There are those I2C pins, which probably need to be used to turn on the laser.


Most SFP+ modules can be pin-strapped to turn on the laser without need for I2C programming. Check the datasheet for your transceivers.


  What SFF document has information on that protocol? 


The protocol isn't defined by SFF, but by the higher level standard, such as Ethernet or Fibre Channel. 

If these are 10 Gb/s links in Ethernet, the PMA (Physical Medium Attachment layer) protocol is most likely 64b/66b encoding. If they're 8 Gb/s Fibre Channel, the protocol is 8b/10b, which is more forgiving than 64b/66b.


  Do SFP+ modules need a clock signal?


No, they don't require any clock input. 

That said, it would be cheaper, and you would get your link operating faster, if you just go buy a 5 or 10 m cable instead of designing and fabbing an interposer PCB to connect two transceivers back to back.