You may have no actual right to a copy, but many employers will give you one if you ask. After all, if you have received favorable reviews until your religious trouble started, it might help to be able to prove it. In most cases, the people you work with are not really trying to hurt your feelings or make you angry. They probably just don't know any better. They may be trying to make a joke or convert you to their point of view.
Many people are simply more comfortable around persons who share their value system.
If you quietly and privately explain what they have said or done that offended you, and how it made you feel, they'll probably stop. You need to be discreet and speak to them alone, with no one else around. If the situation becomes tense, consider a little gentle humor to lower the tension. Try not to embarrass them or put them on the defensive. It is better to act hurt than angry.