You can read Neil's feelings on the subject of religion, and a lot of his own personal philosophy, in Ghost Rider. It's an excellent read. For a Christian, it was interesting to watch, through Neil's own eyes, God repeatedly reaching out to him, and Neil rejecting Him.
Having said that, yeah, they're either atheist or agnostic. Some songs, like "Faithless," push it more than others, but you can see a skepticism if not outright disdain for religion as far back as 2112. I just skip past the tunes that bother me and enjoy the rest of them; there's plenty of material in their catalog to choose from, and I don't see a reason to chuck my copy of Signals out because I don't like or agree with the sentiments spelled out on later albums.