They go to church, of course; at least, they do if they’re practicing Christians.
Which are practicing Christians, you ask? Why not consult this handy-dandy chart compiled by people with too much time. It’s a table of superhero religious affiliations with links to provided evidence.
Of note: there are a lot of Catholics and various Protestant denominations, but I’m tickled by the “met God” category that some characters fall into.
Also of note is that most dreaded of categories—”Communist atheist”—to which Colossus and Black Widow belong.