What is his distinction between the self and the soul? Is he saying that we create the soul and spirituality to create meaning in this world, but we are not the soul?
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It is often tough to pin Nietzsche down in regards to clear, hard-fast distinctions between classical metaphysical issues such as this one. It is quite clear that Nietzsche disbelieves in the eternal soul posited by Plato and others. In regards to this idea of soul, you are exactly right to say that we create it as a fiction to inspire us towards a meaning outside of "life." He is quite convinced that only the vitality of the body is the human being. However, Zarathustra's "soul" might be best described as the paradoxical account of his unflinching will that masters his body but yet is his body at the same time.