My guess would be most of them are not religious at all. They keep some cultural things from Catholicism but it's a safe bet almost no made guys will be at mass or anything like that. Most probably are apathetic or don't believe in god.

The Sopranos had good episodes on this.
Tony and Paulie talking about religion was funny.

Tony: If you were a Hindu you would go to hell for eating beef.

Paulie: I never even been to India, what the fuck do I care?

Tony: Thats what i'm saying. All this stuff don't mean shit.