In the study below, I'm not sure I find much to really support the claim that belief in the supernatural is the cause of well-behaved kids. I do see parental involvement, a structured environment, and consistent cultural messages to the kids. You would need to control for these non-religious factors to really make a claim about religion itself.
On a related note, there was a really good article in Scientific American a few years back about the moral development of children. One of the things it talked about was rule-based moral systems being far worse than value-based moral systems where the kid had to learn to reason about trade-offs. From what I remember, they even claimed that the rule-based moral system was worse than no moral teaching at all. Unfortunately, I don't still have the issue, but it's worth looking up if you're wanting to learn more about moral development.
--Don