This is a delicate issue. You state that you should do what makes you happy, and that this is an advantage over a religious point of view. But if we use this as a criterion to evaluate lives of religious people, we'd find out that some of them truly enjoy being religious and like to do things according to their beliefs.

But this isn't all: submiting to a religion provides a sense of stability. This stability might be important in moments of crisis, for example (losing a close relative, becoming addicted to drugs, facing serious health issues); and also provide a long term meaning to life, functioning as a source of emotional and moral relief during struggles.

Lastly, religious congregations can give good support to its members, specially to new and fragile members.

So, my conclusion is: it is possible to find an enjoyable existence through religious beliefs and practices. And, in some cases, religion can turn sufferable existences into more pleasant ones (an ex-convict and drug addict that converts to a creed after facing hard times, for example). Not everyone needs to be a creator in the existential nihilist sense in order to enjoy life. Maybe not everyone is capable of being a creator at all. Also, concerning self-denial and subjugation among religious people: can we blame it all on religion? Is a nihilist life devoid of suffering? What if the meaning the nihilist creates to himself makes him suffer? Without the consolation of the spiritual experience, we could hardly say this is better than a religious life.

Nietzsche's thoughts on this might be relevant.

With these preachers of equality will I not be mixed up and confounded. For thus speaketh justice UNTO ME: “Men are not equal.” And neither shall they become so!

Also, he denies the possibility of an universal moral. Following this line of thought, I believe that we couldn't state that moral A is superior to moral B, since we lack a superior criterion of comparation and evaluation. To me it seemed you adopted a sort of hedonist approach in order to stablish this comparation (nihilist happiness vs religious subjugation), and in such grounds I could write this reply. Anyways, I think it is incompatible with a nihilist point of view to state its superiority over religion.