Religion is very important to many of the characters in The House of Dies Drear. It's where they connect with others and where they take part in community activities. For other characters, the church is a scary place, where people are cruel and heartless. Ohio, where the story is set, has a rich church history. Here are some links to denominations of Christianity mentioned in the story: African Methodist Episcopal Church; African Union Baptist Church, Presbyterian Church.
By showing Thomas the white church and telling him he can go whenever he wants, Mr. Small is letting Thomas find his own way of practicing religion.
The most important thing about church to Thomas is the social aspect.