Its just the same as using it in any other media. As long as I don't do something like take Muslims, make them all stereotypical arabs who run around blowing up towers then there's nothing wrong with using religion, or make all Jews have big noses and hoard wealth, but instead use it in a proper manner as a device for the plot or character development then I don't see any reason for it to be wrong.

As for characters, I've had an evil wizard cult leader, a strong atheist (ironically in a world stuffed with gods doing crap 24/7), an alien zealot, an entire alien race of atheists, an assassin who couldn't give two shits about it all etc. If it fits the setting then I might use it, or not depending on what character I'm building.