Yes. When referring to religions such as Christianity, Judaism, Hinduism, Islam, Buddhism, etc. you should always capitalize the word since religions are proper nouns.

Do you capitalize names of religions?

Capitalize the names of religions, religious followers, holidays, and religious writings. The names of gods and goddesses are capitalized. The Judeo-Christian god is named God, since they believe He is the only one. Believers also capitalize pronouns (like he and him) when referring to God.

Is the word Hindu a proper noun?

Explanation: They are proper nouns because they are specific (referring to one believers of a religion by a name, rather than a general word such as religion which doesn't specify a religion). They must be capitalized.