the art for all the buttons are packed up in the fpk files. You'll need PAK builder application to unpack them. If you just want to make new religions, you don't even have to do that.
Check out the tutorials on how to add/modify religions, also see the tutorial on how to modify game fonts for free.
The only thing you need to do is make a 64x64 DDS image of your religious buttons (the ones that show up in civlopedia and religion advisor screens), and also an exact copy of those followed by _d.dds
Confused yet?
Basically if you want to replace Judaism, its easiest to just make a button for your new religion. Call it Jewish.dds Then scale that exact image down to 32x32 and name it Jewish_d.dds
Place those in the correct folders where they always seem to lead to dead ends.
For example, the religious buttons should be in the folder of your mod or custom assets;
Assets\Art\Interface\Buttons\Religions
Then you'll need to change the res icons to fit with your religion. (the little icons that appear on the city bar in world view, and in the city view)
Use the tutorial about how to modify gamefonts for free to learn how to do that bit.
Thats pretty much it, the only thing else you need to do is modify your religions.xml a little to fit your description, maybe the gametext.info also for same reason. Then you'll also need to edit the special unit (missionaries) and special buildings (all 4), but thats another story, although not too difficult.
