SDRAM in SOPC system

You will want your exception address to be located in the SDRAM (assuming that is where you'll be running your code). Your reset vector relies entirely how you plan on booting your system. So as you know SDRAM can't be powered up with initialized contents. You need a bootloader that will copy your application from a non-volatile location (usually flash memory) to your main memory (SDRAM).

Using the Nios II tools you can use any memory you like to download your code, but when you go to deploy your product you won't have the luxury to just simply download to whatever memory you want. So what is your bootup scheme in your final project? Whatever will be your final implementation I recommend prototyping as early as possible.