It seems most of them are religious, at least in the sense of belief in God and the devil, heaven and hell, etc. But Sopranos scene Ted described above seems to be the way many of them think. Many of these guys have or would feel guilty if an innocent person, especially a woman or child, gets hurt or killed because of them. But not another mob guy. What's strange is they seem to assume God makes that distinction too, i.e. the guy they killed was also in the life so He will just overlook it.