They think they are the only ones here.

A man arrives at the gates of heaven. St. Peter asks, "Religion?"
The man says, "Methodist."
St. Peter looks down his list and says, "Go to Room 24, but be very quiet as you pass Room 8."
Another man arrives at the gates of heaven. "Religion?"
"Lutheran."
"Go to Room 18, but be very quiet as you pass Room 8."
A third man arrives at the gates. "Religion?"
"Presbyterian."
"Go to Room 11, but be very quiet as you pass Room 8."
The man says, "I can understand there being different rooms for different denominations, but why must I be quiet when I pass Room 8?"
St. Peter tells him, "Well, the Baptists are in Room 8, and they think they're the only ones here."