Pszemol,
Kenland is right. You need to create an interface to user logic for each peripheral/memory bank you want to address on your card. When you go through the wizard, selecting the data bus type to "inout" (bi-directional) will tell SOPC Builder that this is a tri-state bus. When you're done with the wizard, you hook up the new slave to a tri-state bridge.
You should note that certain signals can be shared... so if you have (for example), a tri-state bus with shared read/write/address/data lines for all peripherals but unique chip selects, you'll have to tell the wizard this as you create each interface. This will affect he pins that pop out on the top-level of the SOPC Builder design.
Finally, when you choose "Avalon Register Slave" in the wizard, you're specifying the native addressing mode. When you specify "Avalon Memory Slave", you're specifying dynamic alignment. This is detailed in the avalon bus spec.