Sure Binome, let's go:
Qsys is the next generation of SOPC Builder, so you can forget about SOPC Builder and use Qsys only. It's an integration tool that is potentially faster to build bigger systems with than schematics. That's because when you use schematics you must connect each wire by itself, while using Qsys you can connect interfaces with a bunch of wires and get automatic arbitration, bus width adjustment, etc. You can get a lot more information about Qsys in the "Introduction to Qsys" online training I told you about, you just have to register for free, so here's the link:
http://www.altera.com/education/training/courses/oqsys1000 There are some IPs you have in MegaWizard and are not available in Qsys, and also the opposite. So a Nios processor is one of these components: it's only available inside Qsys. And the reason why is that it's much easier to create a complet SoC system inside Qsys than schematics or HDL. You can, however, open Qsys and insert a Nios processor only and export all processor interfaces to the outside world, and then generate a symbol for this. When you try to connect this symbol in your schematic you will understand why you shouldn't ;)
I think you should give Qsys a chance. Maybe you need some time to learn how to use it, but for sure it will save you much more time later, as it's really faster to integrate and reuse components. I work with Altera tools all day long and it has been some years we don't have a single project without a Qsys system on it, even when there's no processor. I think the online training I sent you the link is the right starting point for you, give it a try!