If I am flying in from Costa Rica to Atlanta and then changing planes to Raleigh, NC do I have to change to a domestic terminal?
You don't actually change terminals. You will arrive in Concourse E/F, go through US Immigration, claim your bags, go through US Customs, re-check your bags at the re-check desk, then go through security and take the Plane Train directly to your departure concourse.
Going to Nassau. We will land in Atlanta at 940 out an hour later to Nassau will we go through customs in Atlanta or Nassau? Do we have time?
There is no US Customs when leaving the US. You will go through Bahamanian Immigration and Customs in Nassau. If your first flight is domestic all you have to do in Atlanta is go from your arrival gate to your departure gate. You have enough time.