Gee wrote on his neck a big "Catholic" before a concert, and he went on stage with it. I'm positive the Ways grew up in a strict Catholic home, but I'm unsure if they kept that as they get older. Gee still believes someone could be touched da God (after a mention of Joan Of Arc) in an interview. I think he believes in a Higher Power.
As for Frankie, I read on WikiAnswers he was Catholic, but there were no sources behind it. If anyone could elaborate o correct me, please do so. I've read several times that he was Catholic.
I don't know anything about Ray's. Bob's out of the band, so I'm not sure if te want his, but if te do, I'm sorry I have no idea and I don't see any reliable sources on the web to find the right answer.