I knew the was a tut. on making buildings but couldn't find it for some reason...the process is: (assuming you are NOT wanting to also create/add your own nif to a new building...which isn't that hard just til you know the process, wait so if the new nif is bugged you won't get crashes you can't explain and rip out everything you did that wasn't your fault) (true story)
open civ4/assets/xml/buildings/civ4buildingsinfo copy and paste whatever you want to copy. make the changes in the copied entry you want, (name/numbers etc). save, if you are using a xml editor reload to check for easy to find sytax errors.
then open civ4/assets/xml/art/civ4artdefines_Buildings, make the same copy and paste from an entry, change the apprpriate names. the first time for the .nif files use a non-wonder entry (like stable or temple) the button, can be put anywhere, it doesn't have to be in an "atlas" just make the .dds file (see the tut's on making buttons if needed) and BE SURE it is in the same place you listed in the file.
then open civ4/assets/xml/text/civ4_warlords(or civ4)_objects make a copy and paste entry, then take the TEXT_KEY_ entry from the building in step 1 and put it in the new entry, with the proper language below it, unless you need it to be in another language you can ignore the ones which don't apply (for your personal use, for something you'll publish it's a nice touch to have them)
opitinal, change the pedia/strategy entries as well, (pretty much straight forward just watch syntax)
2 caveats, the city button, will list in game by where you put them in in the art_defines file, if you put them at the bottom of the file, they will be behind everything in buildings (or wonders) in the game, so list according to taste.
the other caveat is where you put the building in the civ4/assets/xml/buildings/civ4buildingsinfo will list as you list it, so you can end up with buildings "under" the wonders section, so again list according to your tastes.
with new nif's...like those you download, my real advice is get a building in game first with straight in-game graphics, learn the process, then you can add the new stuff, that way if something is bad somewhere you will have a better idea what is wrong...cuz bad nif files don't cause a warning, the game just crashes, but it also just crashes because of a minor syntax error, or you listed the button file in the wrong place...both things the game doesn't check for and you can go nuts trying to figure out what is wrong.
with the .nif creation, I'll leave that to one of the many experts we have, I understand the theory but so far the engineering escapes me.