The gods -- well a small number of them -- are still where they've always been: in our legends and in our mythologies. Unfortunately, most of the gods are lost to us because they only existed in oral traditions; it takes only one generation to lose an oral tradition.
Or course, we created the gods. Even if the supernatural were to exist, we wouldn't have been able to discover anything about it, so we made it up and stuff about it. Even if supernatural beings were to exist, we wouldn't have been able to discover anything about them, so we made them up and stuff about them. Even if some of those supernatural beings were to have directly communicated with someone (AKA "Revelation"), then Paine's observation would hold: Revelation is Revelation to that person only; as soon as he tells another, it becomes hear-say and when they tell a third it becomes hear-say upon hear-say. My opinion is that Revelation becomes hear-say to that first person as soon as he tries to understand it. So even if something that could be called "God" existed, we would still need to invent our own versions of "God".