It depends on how deep you want to go with your world-building, but you need to fundamentally think about "What is the purpose of religion" and think about the role it plays in peoples lives and how it is tightly coupled to culture and history. How does a religion develop in our world, what features does it have, and how might that inform your own creation.
Protestants, Catholics, Mormons, Orthodox, Copts, Sunni, Shia, Jew all worship the same "god" (as D&D would put it), but do they feel the same, religion wise?
Modern religion tends to worship inside their "temples" (ie church, mosque, etc) but a fundamental feature of classical paganism was the fact that most worship happened outside the temple. (How much D&D "polytheism" has even considered that?) Something as simple as that can start to inform your thinking.