In the 2014 wave of Understanding Society, respondents were asked, "Which political party are you closest to?" The chart below plots the distribution of responses across Labour, the Conservatives and other parties, separately for the general population and each major religious group. It should be noted that, although I applied sampling weights, the percentages are probably slightly off. In this sample, 43% are closest to Labour, and only 36% are closest to the Tories, whereas in the last General Election, the Tories won 37% of the vote and Labour only 30%. It should also be noted that the sample sizes for Buddhists and Jews are very low (n < 100).
Nevertheless, it is instructive to examine the differences between the various religious groups. Christians and Jews are slightly more likely than the general population to support the Tories. Buddhists are slightly less likely to support Labour, and much less likely to support the Tories. Hindus are somewhat more likely to support Labour. And Muslims and Sikhs are massively more likely to support Labour. A full 83% of Muslims and 86% of Sikhs say they are closest to Labour, which is 40+ percentage points higher than the fraction in the general population. One important caveat is that some recent surveys have suggested that Tory support among Hindus and Sikhs increased appreciably at the last election.