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In my estimation, there are two reasons why people who self-identify themselves as religious tend to lean to the conservative side:
1. Some liberals who show the same sorts of mental tendencies as those who classify themselves as "religious" instead prefer the label "spiritual". I have never heard a compelling defense of this distinction, save for the comment that spirituality doesn't require organization. It seems to me that this distinction is reasonably meaningless, as both terms refer to the practice of belief in objects, principles, etc. that cannot be perceived or derived through logic. Namely, spirituality and religion are both institutions that encourage belief based on faith. If the people who follow your brand of religion choose not to gather together to perform religious ceremonies, you will likely say you are "spiritual, not religious".
I'm not sure why this is a predominantly liberal phenomenon, but I would guess it is at least partially related to the fact that most organized religions espouse conservative social doctrines that alienate potential liberal members.
2. Some liberals who show the same sorts of mental tendencies as those who classify themselves as "religious" instead place their faith in "atheistic religions", primarily Marxism. This particular ideology contains a messiah, prophecy about the future, the attainment of heaven, etc. Further, it caters to one dream of members on the far left: the end of socioeconomic class discinctions and discrimination. That said, Marxism is not a falsifiable doctrine and the empirical evidence for the imminent communist revolution is, er... lacking.
It is my opinion, then, that it is true in the literal sense that conservatives are more "religious" than liberals... if the "religious" label is one that is self-identified. That said, many liberals are attracted to ideologies that satisfy similar needs. These alternatives are not typically classified as religions because they do not represent organizations dedicated to the worship of a deity. (This also explains why Buddhism is sometimes classified as spiritual as opposed to religious.)
As for myself, I'm an atheistic conservative.
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The peculiar evil of silencing the expression of an opinion is, that it is robbing the human race; posterity as well as the existing generation; those who dissent from the opinion, still more than those who hold it. If the opinion is right, they are deprived of the opportunity of exchanging error for truth: if wrong, they lose, what is almost as great a benefit, the clearer perception and livelier impression of truth, produced by its collision with error. ~John Stuart Mill, On Liberty
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