Why do you feel the need to "come out" to them? Why not just wait until it comes up, if it even does. It's not something you have
to share. And if they are your friends, religious or not, they will be totally fine with your prefs! I'm serious. You probably have nothing to worry about. And hey, if they go being judgemental to you, then there's no friendship there anyway & you'd have nothing to lose. Just because you're religious does not mean you have to shun people when you learn they don't do what you do. But then again, I don't know how every religion works, but speaking from Christianity here.
I don't think it's a big deal to worry about going and telling them. Chances are, they probably don't care, so I personally don't feel that my friends HAVE to tell me their preferences. I mean, why do your friends have to know anyway? The way I see it, my friends do not owe me an explanation as to what gender they are attracted to.