Would the Middle Earth saga be considered a religion in of itself?

[Tigerlily Gamgee]

It is pretty clear that the Valar are like the Gods of Middle Earth (at least, that is how it seemed to me). I was wondering, during Lord of the Rings, if there was any religious belief among the elves - when I read the Silmarillion my question was answered.
Also, about the afterlife aspect... yes, the elves do go to the Undying Lands, but I don't believe it is ever stated where men go when they die. So, it is a mystery for the men of Middle Earth as it is for us. I am pretty sure that all they ever said about the mortal spirit is that they know not where it goes after death. Does this apply to Dwarves and Hobbits as well??