Every time I get a little overenthusiastic about world building I stop to asking myself the following questions:
Unfortunately, I can't remember the last time religion played a prominent role in any D&D game I participated in. Deities were largely selected based on the mechanical benefits they brought to the table and were otherwise window dressing to the setting.
- Will this actually come up in play?
- Will this make a difference?
- Will my players care?
If you have nay-theist, what impact does that have on adventuring?
For one, it's often a part of worldbuilding. Does X world have deities? What happens to the soul of a character if he/she/they die? Are they taken in by a deity? Which one? If they're a nay-theist or an outright atheist, does this impact their fate? These can actually be very important questions to consider in a campaign. Maybe it doesn't come up much, but developing it can help in the worldbuilding, and it's there when you need it.