Religious just means having and practicing spiritual beliefs. If you feel drawn to spiritual beliefs, you can try finding a group that you feel comfortable with. You can learn about religion from reading, talking to people, and going to religious groups. Then you can start to narrow down what you're interested in.
If you feel guilty for not being religious, find something that works for you. There's probably a part of you that yearns for spirituality and is causing you to feel drawn to it. If you have overwhelming guilt for things you've done in the past, that's something different, but religion can help with that too. You can also seek professional help from a psychologist. Actually those who are religious have been shown to do much better in psychological therapy.
The punishment is not something God does to you, but what we do to ourselves when we reject outright wholesome things like religion and morality. People that are religious are less likely to end up with many common problems because they have a strong sense of morality. It's good to find a group of religious people that you feel comfortable with and interact with them (in real life, not online).
Many people today hate religion, and you can see how our society has become. Focus on negativity and it will affect your life negatively, but focus on something positive like religion and you will become happier. A scientific study showed that religious people were the happiest people in the UK.
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"Just came back from the storm." -Jimi Hendrix
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