Church of Ireland parish records often contained burial records too so if they survive for Kilalla they should be very helpful to you.
Members of the Church of Ireland who married before civil registration of Protestant marriages began in 1845 posted what's known as Marriage Licence Bonds. Not all of those survive. You can ask the Church of Ireland Archives in Dublin if they survive for County Mayo and how they might be accessed. They may be available through LDS if they do survive and you may want to check the LDS catalogue for those.
They're by Church of Ireland Diocese which would have been the Church of Ireland Diocese of Kilalla.
There should be Church of England records in England prior to the beginning of civil registrations records in England in 1837. But all those would probably be location based wherever the family was in England.
I did check the online Peerage information but did it very quickly. There were some Kirkwoods there I believe, but it's probably not at all complete comparecd to the printed version:http://www.thepeerage.com/
Roman Catholics weren't allowed to own land in Ireland during the 1700s nor were they allowed to vote. Catholic Emancipation didn't start in Ireland until 1829 and that's when most the Roman Catholic churches started to be built, actually many much later than that.
The Church of Ireland (Anglican) was the "official" or "state" church in Ireland until 1871 when it was disestablished by the English Government.
If the family were Scottish and went to Ireland under James I, that was when the Plantation of Ireland was which I mentioned in one of my earlier messages. During that time, James I in 1603 began a methodogical Plantation of Ireland with Scottish and English Settlers. The lands of the native Irish were taken and given to the new English and Scottish settlers. They were even given certificates for the new lands by the English Government. But those certificates I don't believe have survived in the various families and if any records are in England, they'd be at the UK Archives in Kew Surrey.
You might want to search the UK Archives website for any possible remaining records that might include the lands the Plantation settlers received and where they were.
The Scots settlers were from the Scottish lowlands and were Protestant, mainly Presbyterian. The surname Kirkwood itself while often originating in the Northeast of England, has Kirk in it which is the Scots name for a Church.
Here's a link to earlier records in County Mayo which includes a list of Protestants in Kilalla in 1820 but those records are at the National Archives of Ireland and not online. You'd need to hire a researcher to go to the National Archives of Ireland for you in Dublin to research the records.
You could search the LDS Catalogue to see if any copies are microfilmed and available through LDS.
With British Military Regimental information, i.e. the names, most of the Regiments have records (very detailed) about where the Regiments were stationed and when. Most of those detailed records are at the UK Archives in Kew, Surrey.
There's also an online British Military Regimental website http://www.regiments.org/
And the link to the detailed records at the UK Archives on British Military History at Kew, Surrey:http://www.nationalarchives.gov.uk/militaryhistory/
Your ancestors sound like they have a very interesting family history.
When you contact the Church of Ireland Archives in Dubli