Certainly there is relief from suffering for those who have a faith or belief.
I wouldn't say that this 'protects' us from suffering, but it does enable us to deal with suffering when it comes with forebearance and can provide some peace.
I am personally Buddhist and so, when faced with difficulties and any level of suffering, I try to be mindful of the impermenance. Everything, including this, will pass. By attempting to not allowing the suffering to overly impinge on my equilibrium, I am also secure in that I am, in some small way, also reducing any future suffering.
I believe that the faith and/or belief systems of others are also equally valid and effective. Whether this is a belief in an 'after-life' nearer to their god or deity or that their belief provides some other validation for the suffering, this can always be helpful. There is no right or wrong, simply what works.