morten_tor,
You wrote
" Thank you for the pointers. I read the text, but it was not really applicable. I don't know why I didn't think of it before, but I opened the prompt and built the project using "make all", omitting the -s switch, I piped the output to a file, and rebuilt my own makefiles."
Did you read the online help? As this should explain the entire build flow if something is missing please say what. As for doing make from the command line, there is also an option in the IDE to show all the make output Window->Preferences Select Nios II and tick the tick box
Show command lines when running make (i.e. Don't use -d 'flag' on make)
Please note though this slows down the build.
As for your other question
"Next issue on the table is the NIOS-II IDE. It appears that it is impossible (ok .. ok .. very difficult ) to create a project and compile files which are OUTSIDE the project directory. I could use Visual Studio as an editor, but I really like the integrated debugging facilities in the NIOS-II IDE."
Sorry if you want the integrated debugging facilities, this is a restriction you have to live with for now.