I'm assuming that a rationalist who made tulpas would be aware that they weren't really separate people (since a lot of people in the tulpa community say they don't think they're separate people, being able to see them probably doesn't require thinking they're separate from yourself), so it wouldn't require having false beliefs or beliefs in beliefs in the way that religion would.
If adopting a religion really is the instrumentally best course of action... why not? But for a consequentialist who values truth for its own sake, or would be hindered by being confused about their beliefs, religion actually wouldn't be a net benefit.
Thus spake Eliezer:
It seems that many here might have outlandish ideas for ways of improving our lives. For instance, a recent post advocated installing really bright lights as a way to boost alertness and productivity. We should not adopt such hacks into our dogma until we're pretty sure they work; however, one way of knowing whether a crazy idea works is to try implementing it, and you may have more ideas than you're planning to implement.
So: please post all such lifehack ideas! Even if you haven't tried them, even if they seem unlikely to work. Post them separately, unless some other way would be more appropriate. If you've tried some idea and it hasn't worked, it would be useful to post that too.