A while back, I read a story in a collection, but I don't remember very much. I know that it was about some missionaries on Mars. Eventually they found a bunch of spheres that apparently have escaped sin by leaving the material world. I don't remember anything else about it. Someone told me that it was in "The Martian Chronicles" by Ray Bradbury, but I checked my copy and couldn't find. I'm pretty sure that it was by Ray Bradbury though. Help would be greatly appreciated.
You are describing Ray Bradbury's "The Fire Balloons". I read it in The Illustrated Man. It is in other compilations, too.
A story summary on Wikipedia:
A group of priests travel to Mars to act as missionaries to the Martians. They discover that the natives are entities of pure energy. Since they lack corporeal form, they are unable to commit sin, and thus do not need redemption.