Walter,
You're mixing two entirely different environments.... the "cpu_sdk" mode is generated _only_ when you're running in "Legacy SDK" mode and has nothing, whatsoever, to do with the IDE.
There are _plenty_ of examples of components, designed for use by the Nios II IDE, however, in your <nios2_install_root>/components directory. Take a look at the altera_avalon_pio directory for a really simple example.... and move on from there...
Also, you didn't mention how you're importing your VHDL code... Are you using the Component Editor?
Cheers,
- slacker