Hedonism and religion don't get along well together.
They might. Many religious people I know seem to use it (religion) as a balance to their Hedonism. I suspect this has always been the case. Religious participation cleanses the guilty conscience and allows people to continue to wallow uninhibited in their sinful ways. Those that practice religion to the point of enhanced self-discipline are usually called monks. Most people have just done the bare amount necessary to be saved. Some who think they need more saving might spend a little more time praying and offering.
Don't believe me? Look at the numbers for credit card debt. Look at the success of TV ads with thier implicit "Gratification now!" and "You deserve..."
This is certainly present, but I think it is more the side-effect of "successful" capitalism. I'm certain that had millions of Americans been hammered with $5000-10,, 0% for 1 year, then fixed at 6.8% (but really goes to 27.99% because one of your payments was received a day late) offers daily, back in the 1920s, they'd have been in the same boat.
I think one of the main factors is the openness and sheer volume of information easily available now. When I was a kid, I either believed what someone told me or I didn't. We had schools with skimpy government approved text books, little school libraries, and TVs that got a few stations. We read newspapers and magazines. There was no other place to learn about things you really were trying to learn about. Thinking back about it, I wonder how we all weren't dumber than dirt. What I'm getting at is kids now are inundated with information and choices from an early age that we couldn't even imagine back then. When I questioned things that my Sunday school teachers couldn't explain or told me I had to accept as the truth based on my faith in something that I had never seen, I either had to buy what the teacher was selling or discount it. From the churchs position, it was wrong to question it in the first place and not believing was even worse. I couldn't hop on the internet and instantly get hundreds of other opinions or explanations like we can now. The open availability of information has to some degree divided (but not conquered) religion by giving people the freedom to research the issues, learn more, and make better informed decisions.
I also feel similarly to Tallpine regarding the power and control issues of organized religion and I think that this is another big thing which turns many away from the church. Its like another government that you have to subject yourself to, with people, no better than yourself, in higher positions, making decisions that you are expected to support. Some churches are arguably much better than others in this matter, but all churches, by their very nature as gathering places for dozens to thousands of people who want to belong, are magnets for people who want to assert influence and control over others.