Since your twins are so little, I don't think this is a problem that you'll have to worry about for a while. I've got mixed emotions on this. My nephew's paternal family really wanted to include his deceased relatives in their family. It kind of gave him a death fixation, any time he saw a picture of someone he asked "when did he/she die?" So I think you should wait for them to ask questions and explain it to them on their level. I'm sure you have pictures of the boy around the house, they'll eventually ask who he is and where he is.

As for the religion, that of course depends on your and gf wishes. My children were all baptized. You can begin their religious training at home reading them bible stories and sharing your beliefs with them. I do have a problem with most organized religions. There is too much politics involved in my opinion. My children did ask to attend Sunday school when they were around 7.