Step 1) Create Mesh
Step 2) Create Collision Shape -> name does not matter at all ever not even a little....!
Step 3) link Collision to Mesh.
Step 4) Assign your Meshes Material BSBlinn or BSLightingFX or BSEffectFX dependant on use of that mesh.
Step 5) Select Collision and hit Create Single Rigid Body -> Proxies are generally only used for Skeletal Collision but they are not really any different overall except that a Proxy collision will be linked under the same NiNode as the Mesh where as the other generally gets placed under its own NiNode, In terms of an animated Mesh that alone creates a parent NiNode for the animation to be linked to and the Collision will be a child of that so its irrelvent as to which you use.
Step 6) go to the modifier panel and select Shape -> Shape Type then RigidBody -> And set its Quality Type otherwise it will export as Invalid which is useless overall.
Step 7) Goto Utilities -> Collision Group and set the default Materials and Object Type then Apply To Selected.
Step 8) Export.
Step 9) Process exported nif with Elric tool (included with CK). Nif mush have "meshes" folder in it's path for Elric to work properly, though Beth said they'll fix that eventually.