Any advice?
If you have a player who plays clerics, make sure you bring him/her into the loop. In my experience, buy-in from the players is the single most important thing about a campaign setting - whether off the shelf or built from scratch. If you spend a whole lot of time building up various religions and your player who loves to play clerics gets no input then you may end up creating a situation where they don't want to play in the sandbox you've built. You may have a player who doesn't want to spend a lot of time on it and only says "I don't care so long as I get to whack things with my mace and heal people" - but even that tells you "don't mess with the core cleric concept, and make sure the battle cleric is somehow a thing" in the religions you create.
And unless you want to do it out of the love of doing it for yourself - like Tolkien noodling out the details of the Elven language - then be careful about where you put the effort into it. Speaking again from experience - unless you have a player who cares and wants to buy in and work on it with you, any setting detail you create will be mostly ignored by the players except to the extent that they can interact with it to have their own fun. If the religions of your world are going to be central to the main struggles that the PCs will face then there's a good chance that the players will take an interest in them and you will actually be able to use the work you produce. But if the players are mostly interested in having their characters delve into old caves to beat up orcs and steal their treasure then maybe they'll never encounter the highly detailed setting material you've created. And that can be somewhat frustrating, especially if you think you've got some neat setting ideas that the players just shrug off.