Yes, and reasonably regularly while he and Nadya were living in London in 1902-3:
He visited eating houses and churches. In English churches the service is usually followed by a short lecture and a debate. Ilyich was particularly fond of those debates, because ordinary workers took part in them … Once we wandered into a socialist church. There are such churches in England. The socialist in charge was droning through the Bible, and then delivered a sermon to the effect that the exodus of the Jews from Egypt symbolized the exodus of the workers from the kingdom of capitalism to the kingdom of socialism. Everyone stood up and sang from a socialist hymn-book: ‘Lead us, O Lord, from the Kingdom of Capitalism to the Kingdom of Socialism’. We went to that church again afterwards – it was the Seven Sisters Church.
Krupskaya, Reminiscences of Lenin, pp. 72-3.
No wonder the latter half of the Second Congress of the party was held in a church in London.