Craig Finn, lead singer and songwriter for Brooklyn's the Hold Steady, writes about drug addiction, casual sex, and Jesus.
This quote taken from here.
It's not unusual (though it's inconsistent with the Christian faith) to find those who live a "dual life" ... on the one hand affirming religion and on the other living contrary to true religion.
Two reasons can stand behind this situation. First, the individual may be lost (even though they affirm religion, ... but may not understand the gospel, etc.) and therefore the practice "contrary to true religion" is consistent with their true nature and condition. On the other hand, the individual may be saved (hence the affirmation of religion) but lack sanctification (hence the practice "contrary to true religion")
While at times it may be difficult to distinguish, I think the pastoral counsel I heard from John Piper one time is helpful - "it's best to take people wherever they are and lead them from there to a deeper knowledge and relationship with Christ".
From my expereience, many who find themselves struggling with this situation, though they think they are saved, lack true understanding of the gospel and therefore need Christ. It's a frustrating struggle, but learning about grace based salvation rather than works salvation can be a welcome news.