Gensokyo has several religions, technically, buddhism and shintoism, which are somewhat connected. But I'm not really from a sect of either of them, I'm basically like those old mountain sages who practice ascetism and eventually, if they manage to not die, become a holy being that way. Except I didn't do all that stuff, it's rather overrated, in my opinion.

I get along well with the main shrine maiden our world, though, she's probably Shintoist. Haven't really met a buddhist specifically, but heard of one.