Does your protagonist attend a church? Pray regularly? Bless the meal before eating?
These are questions that you need to answer before you begin writing. Faith doesn’t have to be mentioned in your story, but faith could influence how a person reacts in given situations.
For example, your character is approached by a beggar on his way into a store. What does your character do? Does he give the beggar a dollar? Wish him well? Or stare straight ahead and pretend that the beggar isn’t there?
One way to begin is to list the religions that you know something about. Once you’ve completed your list, then go online and spend time researching each. Try to find out how someone who practices that faith acts toward others and what the basic elements of that faith are.
After each description, write a few bullet points that show how someone would act is they practiced that faith.
Be sure to include agnosticism, as that is also a possible choice.
Once you’ve completed this exercise, then choose the faith preference of your character(s).
As you write, keep in mind how that faith influences the day-to-day decisions that your main characters make.
This does not have to be a long piece as this is primarily an exercise.
Have fun with this one.