First, the Religion Object needs to be added to the list. To do this navigate to:
  1. Navigate to Lists > Manage Lists
  2. Click the Manage basic and advanced lists block under List Actions
  3. Edit your list
  4. Select the Select Objects tab
  5. Expand the Object - Constituent Information, and select User Religion
  6. Click Display Fields
  7. Click Select Fields
  8. Expand the User Base > Expand User Religion > Mark the checkbox for Religion
  9. Click Select