Why do people participate in religion? The popular approach to answer this question in the scientific study of religion is to borrow theories from economics, based on Adam Smith's classic rational choice theory, and apply them to religion. This study attempts to answer this question a different way by using an approach based on qualitative research methods- specifically grounded theory. The findings from this sample of 12 Mormon immigrants indicate that, while respondents were able to identify multiple benefits and costs to participating in Mormonism, they did not think of their decision to participate in religion in economic terms or as the result of a rational comparison of costs versus benefits. I propose alternative approaches to understanding religious participation that are more grounded in the perspectives of the participants in this study. Using migration as an analogy for religious participation, I attempt to bridge the gap between what the respondents say and the goals of social science. I also outline practical implications that religious participation may have for immigrants attempting to fulfill their needs in an environment where they are marginalized and have limited access to publicly funded social programs.