This: were we led all the way for Birth or Death? (35-36)
While widespread religious change may bring about good things (for all this skepticism, according to the Bible, Jesus did some pretty awesome stuff), the process can be painful, messy, and even slightly reminiscent of death itself. You have to give up a lot in order to gain a lot, in other words.
With an alien people clutching their gods. (42)
The second-to-last line of this poem is a powerful image of the Magis' people, suddenly transformed into heathens "clutching" (what a word!) at their soon-to-be-false idols. Thus the last real image we get of anything in this poem is a bunch of people desperately hanging on to a way of life that's about to be, well, kaput. As if that weren't enough, the guy who's going to do the transforming is the infant to which the leader of these very people just went to pay tribute! So this is yet another image that illustrates that while Christianity has proven to be a very good thing to a great many people, the process by which it came to be was not all rainbows and sunshine for the folks on the ground.