(1) we're born with a "particle" of the divine, but when we lead a rigorous religious practice, this particle "builds" or accretes into the immaterial body/bodies.
Or (2) we're born with "all" the immaterial bodies, but in the ordinary person they are extremely unrefined and are thus inaccessible. In this approach a rigorous religious practice "refines" what is already there and makes the bodies accessible to us.
Well, if we read the first sutta in the long discourse we find 64 things Siddhartha Gautama's philosophy was not about, and a lot of that was not speculating about the immaterial domains; whereas, he wanted his followers to engage fully in his Noble Eightfold Path to experience it directly.
It is worth noting here that there is nothing in the suttas that suggests support for devotional or religious behavior, but everything in support of a contemplative life. Some people tend to confuse religiosity with the contemplative life, so I just wanted to reinforce that message.
The other thing is most people never have a religious experience; and most religious people never have a religious experience; and most people who practice meditation never have a religious experience. So, why is that?
The reason why most people never have a religious experience is, because most people are too busy paying attention to the material world. The reason why most religious people never have a religious experience is, because most religious people are too busy burying their emotional baggage under a mountain of religious behavior. The reason why most people who practice meditation never have a religious experience is, because most people who practice meditation are either: too lazy, or too busy paying attention to the material world, or burying their emotional baggage under a mountain of meditation practices and techniques, or all of the above.
This is why I state the way to enlightenment is by following a skillful, rigorous, self-aware, ethical, contemplative life. One must be skillful to be sensitive to the arising charisms (jhana-nimitta). One must be rigorous, and not lazy. One must be self-aware, and not in denial. One must be ethical by avoiding addictive behavior. One must lead a contemplative life, which is practicing meditation rigorously, which is not just practicing meditation for 20 minutes once a week, or doing millions of mantra recitations, or millions of prostrations before idols, but several 1-hour long meditation sessions per day.