Really? Finding a JDM Civic in a pick-n-pull is kinda uncommon.
The locks won't work too well. You would need to swap the door latch assembly, except that the mechanisim is designed for the pop-up style lock as opposed to the CRX's toggle by the door latch... Meaning the interior lock rod has to move up and down in the Civic instead of fore and aft in the CRX. You might try a set of Integra latch assemblies, but you will still have to play with the shape and length of the rods connected to the exterior handle.
For the windows, take the whole power window regulator. Swap the rail that bolts to the glass with your stock CRX one (drill out the dimple that normally prevents the rail from slipping off the rollers).
If getting the up vs. down speeds right bothers you, switch over the spring at the center of each regulator. Just crank (or motor) the regulator off the top of it's toothed rack thing, releasing the spring tension. Swap the springs, apply a little pressure so the motor's teeth can re-engage and run the motor back onto the rack.
Otherwise, the regulator bolts in. It uses a different set of holes, but they should already be present on the door panel.
Next you need switches and wiring. You could try bidding on some ebay switches, buy some aftermarket universal window switches, or get creative with USDM parts and a dremel:
(Hacked down switch from an '88-91 Prelude)
Wiring is pretty self-explanatory, though the extra pins in the sedan's door bulkhead connectors can make the finished installation alot cleaner... The connectors drop right in.
Here's the Prelude's window wiring diagram: