Including religion in your fantasy world building is a challenge. The challenge, to the creative fiction writer, is not necessarily coming up with names of imaginary gods and what type of religious laws they have for their followers. Services, traditions and rituals can be fun to create as well.
The main problem with fantasy world building is making sure it is not an unwitting parody of real religions (unless, of course, you are writing religious satire).
On a popular list of things NOT to write in fantasy fiction, the ‘noble savage’ and the misguided ‘insert dominant race here,’ is near the top. When world building, try to avoid the ‘cowboys and indians’ type of conflict. Of course, there is a great chance of conflict between the religions you create, it should just be based on something other than real life drama.