Do you partake in different religious or cultural customs when you are at another persons home?

I remember a few years ago I was over at someone else's house for dinner and they were a Christian family. I'm an atheist, but I have nothing against any other religion. That's why I find it awkward when they ask me to do things such as holding hands in a prayer before eating dinner. It's not that I don't want to, but I feel like it would be disrespectful not to do it. It's just something that my family has never done. I wouldn't even say something like, "No thank you, I'm not Christian", because then I'd feel unwelcome.