Well, I'm not religious, at the very most I'm just agnostic, so I don't really know how the different "churches" break down by denomination. I believe baptist is a form of christian, but that's about all I could really say.
I went by this PEW chart, where the only religion with the actual word "christian" in the name, "Orthodox Christian", shows a majority democrat voter preference. And maybe I'm wrong, but I assume "orthodox" means what it's always meant, which is "standard" or "traditional", as opposed to "unorthodox", which means "non-standard" (or "unusual").
Catholic shows the same thing. And as you can see, the majority of religious voters over all religions combined swing left, at least on a per capita basis.
This chart is also from 2014, well before Trump madness, so no doubt there are some changes to the distribution by now.