I try to cut the difference with boxer-briefs. My schlong is too big to get away with going commando under work slacks, so that is a weekend-only indulgence. I always thought proper boxers were too bulky, I feel like I'm wearing a diaper in those things. If genetics will out, Depends may be in my future, but thank goodness, not yet.
The problem is more that there isn't a gap; ultimately, you cannot observe humans without on some level becoming a participant in their affairs. Humans are conscious beings, and they notice when someone is standing in the corner with a notebook. So the only question is what kind of a participant you're going to be - purely disruptive, or trying to participate consciously? The ironic thing is that the more earnestly the field worker tries to go "all in" on participation, the less disruptive they often are, because once you have begun to master the discourse of a community, you are less likely to do or say things that interrupt the natural flow of something like a communal ritual. I know that there are many approaches to ethnography, and that many anthropologists (especially if they are atheists) try to maintain rigid walls between themselves and their informants (or their informants' gods!) and this can lead to some very sober and therefore materially accurate field notes. But as this leaves one unaware of the whole subjective aspects of religious experience and guarantees being forever left out of the inner circle of any religious group, I do not prefer this. I would rather participate as honestly as I can, and save my dissembling for later. We may shade things in a materialist way in publication, that being the only way to stay published, but I think most ethnographers with much time experience eventually take on shades of their informants' faiths in one way or another. And this is right and good. When it comes to field ethics, it is more important to be strictly honest with your informants than with your thesis committee. Tricky but true. The most interesting ethnographic writing sometimes comes from old hands in the field, who now have enough tenure and influence to get away with asking ontological questions and clearly expressing the role that the subjective played in their research.
The trick, of course, is to do all this and still maintain your capacity for cool, objective observation at the same time. But in this, I don't think religion is the only challenge. Everything from politics to family life contains pools of opportunities to lose your objectivity, and emotional involvements are inevitable in any kind of inter-cultural study. To retain your capacity for good descriptive practice requires considerable mental discipline, and is accrued over long experience in ethnographic observation. There is no shortcut or substitute; it has to become your first instinct to recall and be able to reproduce in writing the things you see. Not just in intense situations, either. When you have been at it for a while, the smallest casual interactions become opportunities for careful human observation. If it is your instinct in daily life, it is more likely to stick with you later when you really need it. I strongly encourage budding anthropologists toward the useful habit of diary-keeping in daily life, for the same reason.
If actually in the field, I always stress the importance of dedicating enough time to documentation; it's better to limit your actual elicitation/participation exercises if they are cutting into your writing time. I feel it is important for careful writing and analysis of observations to be a goal in and of itself, that sufficient time must be budgeted for. Maybe something like 60/40 between the having of experiences and the documentation of experiences. Often, if I feel that I may have been emotionally compromised by the situation, I will start making observations about my own reaction and how it is changing as the shock of the original experience fades, just like a medical doctor would observe their physical shock systems as they subside; knowing your own mind is a distinct benefit here. I am also a strong believer in conversation, and will try to talk with my informants about what I have experienced and what parts of my reaction would be "normal" for someone in their community, vs. possibly just personal to me.