I know it sucks making devotees after there's no heathens. What I do is breed two Master Devotees, then if their kids have some devotion skill I drop them on the statue when it's able to be upgraded or polished. (They shouldn't be confused if you drop them on it. They should start building) When you move them off the statue they should be able to "honor" and gain more skill.

I'm not sure if they still happen after the end of the game but there's island events that give more devotion and heathens.