ruff_hi
Live 4ever! Or die trying
What you have described is basically my set up.I can reproduce the problem and fix it consistently. I modified the CivilizationIV.ini file in the Warlords directory to set autosaves to 1 because I have crash problems on some games. And I set the Mods option to load the HOF mod automatically. This modifies the assets apparently, but in Warlords only.
I have created a separate ini file (CivilizationIV-HOF.ini but call it what ever you like, HOWEVER, you need to put it in the 'C:\Program Files\Firaxis Games\Sid Meier's Civilization 4\Warlords' directory to get the short cut to work - see later) that sets the autosave duration to 1 and is set to auto-load the HOF mod.
I have also created a short cut that launches warlords with the HOF mod loaded. When I double click on this short cut, warlords is loaded with the HOF mod ready to go. This process also works for vanilla Civ IV. The properties of this short cut look like this ...

full quote from the 'target' dialog box said:"C:\Program Files\Firaxis Games\Sid Meier's Civilization 4\Warlords\Civ4Warlords.exe" ini=CivilizationIV-HOF.ini
Here are the appropriate sections from this ini file ...
; Specify a Mod folder (Mods\Mesopotamia), '0' for none
; Mod = 0
Mod = Mods\HOF-2.08.003
; Specify the number of turns between autoSaves. 0 means no autosave.
AutoSaveInterval = 1