Sounds like a tricky situation... maybe just sit them down in a serious conversation, and just tell them, but make sure you tell them that you're still the same person they know, and you know they'll support you etc. My sister was at uni when she came out, she just sent my parents a letter explaining, she was worried how they'd react, but they were fine with it... but my family's not religious or anything...

I'd say just be up-front, but tactful. Also, if they are still a bit weird about it, maybe avoid flaunting any of your girlfriends in front of them for a while til they get used to the idea. Good luck!