Personally I feel religion is much more for our benefit than the benefit of the gods. From this perspective it's important not only to follow a religion you have an affinity for, but that it also improves your life rather than demand sacrifice for little/no return. For the record I don't consider a possible afterlife to be a return either.
Now I'm not saying all sacrifice is a bad thing, only that what you give up has to be something you can enjoy life without and also it must be worth sacrificing. For example, I find the LDS sacrifice of alcohol, nicotine and caffeine much more sensible than abstinence before marriage. In the LHP one of the first sacrifices you make is your emotional and psychological comfort zone, personally I found that to be a worthwhile sacrifice.
It might sound odd, but to my mind the gods come second to this balance of loss/gain. I also doubt they much care what path we follow or even whether it helps us or not.