If you get the chance - watch Episode 4 of Griff Rhys Jones's Britain's Lost Routes.
It follows the Pilgrim Rout from Holywell in North Wales to St David's in West Wales, and has more than a flavour of Welsh Catholicism!
Griff himself says the Welsh were amongst the most devout of Catholics - and along the way we see what the pilgrims of Medieval Wales would have seen, to eat what they would have eaten, to sing what they would have sung, etc.
This link takes you to the BBC iplayer and episode 3 (very interesting - goes to Glenfinnan, which is where - if memory serves me right - Bonnie Prince Charlie landed and the Clansmen first gathered to swear their allegiance).
Episode 4, on the pilgrimage to St David's, should be amongst the links at the bottom anytime soon.