Yes. It is possible for you to control your custom VHDL components. There are two possible solutions;
1. Use the Altera-provided programmable I/O component (PIO) to control your logic.
2. Re-design your components to add Avalon-MM slave register interfaces to them.
From a software perspective, both methods could be made to look identical.
Since you are just beginning, I would go with option (1).
Go through one of the many NIOS tutorials, and you'll find that they use a PIO component to control a set of LEDs, and possibly read back switch states.
Take that design, and change the connections from the LEDs and switches to connect to the control and status ports on your components.
Cheers,
Dave