I doubt that all wizards and witches follow a religion (like not all muggles follow religion). However, I think, based on evidence in the 7th book, that the marauders and Dumbledore's family were Christians. James and Lily and Dumbledore's family were all buried in the same graveyard. The graveyard was connected to a church, which often didn't allow non-members to be buried in its cemetary. It is possible that James and Lily attended the services before they had to go into hiding, but were still considered to be members of the church. Sirius Black was also made to be Harry's godfather, which is a religious ceremony. Harry was most likely also baptized in that church.
James, Lily, and the Dumbledores have biblical verses written on their tombstones. Kendra and Ariana had the verse "Where your treasure is, there will your heart be also" from Matthew 6:21. James and Lily had "The last enemy that shall be destroyed id death" from 1 Corinthians 5:26.
It is possible that Hermione herself had biblical background. She was able to tell Harry what the biblical verse on his parents' tombstone meant. She told him that it meant life after death, instead of it being a Death Eater idea that Harry thought it was.
I doubt that certain witches and wizards attend church or any other religious celebration, since it may seem to be too muggle to believe that there is someone more powerful than them. Those people being certain pure-bloods, like the Malfoys, Blacks (with the exception of Sirius), and other pure-blood supramists. I also doubt that the Dursleys attend church. Outside of the evidence that the Dursley's were able to run around the country trying to avoid owls who were trying to deliver their letters to Harry on a sunday (the traditional day of religious celebration), the Dursley's were against anything that seemed judgmental against them. It is possible that they did attend church (to keep up a public image). However, the members of the church may have liked Harry better than Dudley, since Dudley may have been a bit of a bully to the other children.
So, while the series didn't openly state that some witches and wizards were Christians or had any form of religion, they did give indirect evidence (biblical verses) that some wizards and witches were indeed members of religious groups and were open members of different churches and other religious organizations. The series itself offers themes of sacrificial love, good conquering evil, and other such themes.