A lot of people have written posts on integrating Yii and WordPress. This article combines goncin's approach with an article I read about integrating Symfony and WordPress and applies it all to Yii and WordPress.
The customary configuration of a Yii application includes just a single database section in the protected/config/main.php file, but it's easy to extend this to support more than one, tying each Model to one of the databases.
Most applications will have one or two sidebars and often you want to control the content that should appear in the sidebar based on the action. For example you will want to show something different on the homepage as opposed to some view page. While achieving this you generally also want to avoid putting the layout into each view, as that would mean if you wanted to change the layout (e.g. put the sidebar on the left instead of the right or do some funky layout which requires an additional div tag to be added) you'd have to go through every view, which does not achieve good code re-use. It is also bad practice to have lots of if statements in column2 layout just so that you can generate the sidebar correctly.
This config is built on an Ubuntu 11.04 server.
Software is nginx, php-fpm (php5-fpm).
For performance, it's recommended to run php-fpm in SOCKET mode, instead of accessing via IP:PORT. That is the method shown below.