Religion is often included in the worlds we build. This is not because everyone wants to bring religious "issues" into the story (although some do), but because religion permeates our own lives in so many different ways that it makes a lot of sense for another world - particularly a world of humans - to include it.
In fact, issues of religion very often touch a chord with readers. I was astonished by reader responses to my very first story, which included religion as a central aspect of the story. For this very reason, including religion in a story comes with inherent risks. One is that you might be construed as trying to influence another person's beliefs. People sometimes do this intentionally (in which case they may be prepared if someone is offended) but it can be more of a shock if they do it accidentally. Another possible risk is that your portrayal of religion - even a religion which on the face of it is clearly unrelated to those of our own world - will be construed as an insult to a real world religion. [I think this one is related to the idea that readers sometimes construe an author's beliefs or psychology from the content of his/her writing, which is problematic in and of itself...but that's an issue for another time.]
One thing I would recommend is that you take some time to consider how religion is included in your world, and why, and how. I have seen stories where all religious people are zealots, and they don't appeal to me, because they don't speak to me as real. Sure there are zealots in the world, but within any belief system, there is a lot of room for variation.
The reason I titled this post "elements" of religion is because I think worldbuilding religions can be approached from a number of different angles. All of these elements are intertwined, but each can vary. As I write this, I am certain that I am not capturing everything here (I'm no scholar of theology), but coming at it from my usual position of trying to help my own portrayal of social phenomena through basic level analysis. (So please forgive any awkwardness as I try to think this through out loud.)
One element of religion I'll call belief. It's a difficult term, because it means different things to different people, but for my purposes here a belief has to do with how we think the universe works. God exists, or gods exist, or no gods exist... God takes the form of fire, or can change forms at will, or flows through everything; or gods live in every object, or exist above us, etc. This part is about what your characters know is true about the spiritual nature of the world. There will certainly be evidence for belief in language and use of metaphor, and in certain aspects of behavior (but not necessarily churchgoing!).
Another element of religion I'll call tenets (with thanks to my friend Josephine!). Tenets are the "shoulds." They're statements about how people should enact their religion. To be a good Christian you should ___/ to be a good Muslim you should ___/ to be a good member of X you should Y. People, even very religious people, don't always follow all the tenets of their own religion. They will interact psychologically with these tenets, and may follow them, but may resist them, etc. Tenets are usually guarded by, and/or disseminated by, an institution or a specific group of people.
Another element I'll call "practices." These are not the things people should do, but the things they actually do. This would include things like going to the temple for New Year's day and lighting a fire there and bringing it home, or putting out a bowl of water somewhere, or lighting a candle on a certain day. I'm separating them out from the "shoulds" because sometimes people do these things without really connecting them (mentally) to why the religion says they should do them... and because sometimes people hold the tenets but don't actually make it all the way to practices (which can cause them guilt).
Another element I'll call "faith." This is the very personal level of religion, where we find the concept of a relationship to the divine. It is the psychological and emotional aspect of religion. It's possible to believe that gods exist without cultivating faith as such; similarly, it is possible to engage in practices without it.
The last element I'm going to mention here is language. Language use reflects all of the above aspects of religion, and it's worth thinking about how people speak when they are members of a particular religion. Which words are taboo? How do we speak about the divine? Must we refrain from speaking about it? What euphemisms do we use? Another thing that is interesting about the language use associated with a particular religion is that it can be learned, and used, without any knowledge of the elements listed above. Thus, even when a religion is essentially non-functional, the people who used to practice it may still speak as though they do. It is possible to imagine a secular society which still refers to aspects of the divine in quite specific ways.
I think as we go about worldbuilding, particularly if religion will play an important role in the story or in the life of a character, it's worth thinking through these different angles of religion and how they interrelate - and also, how they come together in the mind of the character. For some, all of them are so closely intertwined that they can't be extricated. For others, one element or another may be stronger.
I encourage anyone interested in being inspired by aspects of different real world religions to visit the Religion section of The Writer's International Culture Share. It currently includes seven articles - but if you might be interested to share something of your own, please do let me know.
It's something to think about.