When you talk about keeping your religious beliefs, do you mean specifically LDS or more generically Christian?
I was in a poly relationship with an ex-Mormon. She was involved in non-monogamy while she was married to a Mormon man. However, he started lieing and having sex outside their agreement. This along with some other issues, and they separated. The other Mormons she was having sex with told everyone she tried to have an affair with them. (This hypocracy is what broke the camel's back and she left the church as well.)
I am not saying this to diss Mormons. I think a lot of what happened was considered extremely taboo. So people may have a lot of hidden guilt if their religion is telling them that their lifestyle is un-Godly.