When they talk about it?
Odds are -- they should not use the word "religion."
They should talk about God or gods and goddesses, depending on whether they are polytheists. "Religion" is what people like anthropologists or writers looking at them call what they are doing. When they are doing it, they are thinking about serving the gods, placating the gods, propitiating the gods. . . .
There are reasons not to join in, or stage, religious ceremonies. Their bailiwick is out of your interests, for instance; in ancient Sparta, the cults of Demeter and Bacchus were not big because that sort of farming stuff is the concern of helots. The ceremony is uncouth superstition, it would offend the gods, really. It's not a proper cult; the priests are really all wizards, and so it's impiety. That's not my religion is not one of them.
And if you discover that your religious practices were suppressed at one point, you will not think "Our religion was stolen." You will think, "No wonder things have gone so badly. The gods must be furious."
'cause aforementioned gods are not a fashion accessory. They're the Power That Be. And if they ain't happy, ain't nobody happy. Figuring out who was ticked off was a standard operating procedure in polytheistic religions.
True, your religion may teach you that what you thought was happiness would not, in fact, make you happy, so the solution is not appeasing the gods by sacrifice but by changing what you think. Like, say, the Eleusinian Mysteries, which Cicero praised for the way the initiates "have gained the power not only to live happily, but also to die with a better hope." But your culture could go hang for that.