Definitely more sinister. First, you need to find the Assets/Art/Units directory. Create a folder there and paste the art.
Next, XML work. Find the Assets/XML/Units/Civ4UnitInfos. If you want a new unit, you'll need to mod it in (which requires the Civ4UnitClassInfos), just search the forums for instructions. If you just want to change the art of 1 unit, you have to find the ART_DEF_UNIT_X. Next, open up Assets/XML/Art/Civ4ArtDefinesUnit and find the same tag. Change the .nif there to Assets/Art/Units/X/X.nif and the .kfm to whatever animation you want to use (if your just changing art, leave that alone). Next, Find the <SHADERNIF></SHADERNIF>. This is what the unit will look like on higher-end PCs. If you have no unitname_fx file, close that reference like this:
<SHADERNIF/>
And youre done. Unless you modded in unit, in which youll need pedia info. And most of all, DONT EDIT THE ORIGINAL FILES.