culture and spirituality

A coworker who is very involved in native spirituality was talking about our team taking part in a sweat lodge together. She sees a sweat lodge as something that all religions can do together.
It got me thinking about the culture/religion topic. When does a cultural practice cross the line over to something that God doesn't want for me? How do I know? Things like sweat lodges, smudging and yoga are especially curious for me.