George was on a panel at Worldcon about this exact subject [creating gods in fantasy]. He said that in the real world he doesn't see gods, but he does see religions...and he creates religions, not gods.
The other folks on the panel then went on as to how to make gods-as-characters work in a fantasy world...when George was asked about it later at one of the parties he scoffed - "You can't have gods as characters! That just doesn't work." (paraphrased).
Now, as to whether or not this means gods exist in Westeros is still up for debate. But it seems fairly clear that it means they don't exist as beings that can come down from on high and play with the mortals.