Once you've exited the "rocket" examine the benches found in the first room and then choose the left corridor. From now on you will be allowed to use a navigational arrow for help in leading you to your current objective. Use the Navigation Aid to display the arrow and your current assignment which will always appear at the top of the screen. Both of these assists are very practical and as a result you can't get lost and you won't have to use this guide to navigate you through complex mazes. An important thing to know is that the navigational arrow always points towards the primary objective!
There are smaller chapels on both sides of Father Comstock's bust. Obviously you should examine them more closely so that you'll obtain more money.
The right niche of the left chapel contains the first Voxophone #1 (this item is needed to unlock the Eavesdropper achievement). Transcriptions of all the voxophones you've collected can be viewed from the Gameplay Menu by choosing the Voxophones tab.
Once you've explored this area use the stairs located behind Father Comstock's bust to descend to a lower level. You'll enter a bigger chapel here and you can listen to the sermon or interrupt it by entering a ring with a group of people that are praying. In order to move on you will have to be baptized by the preacher.
Losing your consciousness during the baptism will result in a disturbing vision taking place in Booker's office. You can end the vision simply by opening the door and you'll finally get to Columbia.