The practice of recording baptisms, burials and marriages in church registers was established in England during the sixteenth century. This practice was continued in New South Wales when the following Acts, aimed at validating and regularising practices, were passed:
1825 Church of England
1834 Roman Catholic (then Church of Rome)
1834 Presbrterian Church (then Church of Scotland)
1839 Wesleyan Methodist Society
1840 Congregational or Independent and Baptist denominations
However, some ceremonies that took place prior the years shown above, were not retained by church authorities, or the event was not recorded. If you are researching this early period some searches may end with no surviving records of the event you are looking for.