Early Roman Catholic sacramental registers are rare, but where they do exist, they will probably be held by the individual parish, although some have been collected by the appropriate diocese, and a few are held at Surrey History Centre (see below). The main Roman Catholic diocese to cover Surrey is the Diocese of Arundel and Brighton, but parishes in the metropolitan area of Surrey are covered by the Diocese of Westminster. Michael Gandy has published a very useful list of surviving early Catholic registers in his book Catholic Missions and Registers 1700-1880: Volume 1 London and the Home Counties. There are also useful tips for researching other sacramental registers. This book is available at Surrey History Centre.
A Roman Catholic will (typically) be baptised as soon as possible after birth, receive First Holy Communion aged 7-9 years old and be confirmed at about 13 or 14. A Roman Catholic marriage is not necessarily a civil marriage, as most Roman Catholic priests were not (and in many cases are still not) registrars. A civil marriage is not recognised in the Roman Catholic faith. Only a marriage conducted by a Catholic priest is recognised, and registers are held accordingly in parish churches. If someone takes Holy Orders and becomes a nun, a monk or a priest, the relevant order will hold records of this. In addition, the diocese may also hold records, and ultimately the Vatican in Rome keeps records of all priests, etc.
By the 1920s (theoretically after 1917) it became practise to note on the baptism registers any subsequent sacraments received by the individual. Thus, dates of First Holy Communion, Confirmation, Marriage, Holy Orders, etc, would be noted and cross referenced with the baptism register, even if they had not taken place at that parish. However, the resulting correspondence and references do not always survive. For example, St Josephs Catholic Church in Aldershot only has correspondence back to 1983, although some churches do have earlier records.
Surrey History Centre holds some Roman Catholic marriage registers, which include:
Ref 3835/1: Convent Chapel, Convent of the Sacred Heart (Woldingham School Chapel from 1989), 21 Jul 1984 – 29 Jul 1989.
Ref 6941/1-4: Church of The Holy Family, Farnham, 20 Dec 1969 -12 Aug 2000.
Ref 7101/1: Church of the Assumption of Our Blessed Lady, Merton (single entry recording the marriage of Liam Joseph Cormack and Mandy Bernadette Fitzgerald, 27 Nov 1982).
Ref 7102/1: Church of St Martin de Porres, Weybridge. 16 entries are recorded, 1971-1981.
Ref 7569/1/1-2: St Oswalds Roman Catholic Church, Deepcut, Frimley, 6 Jul 1935-20 Apr 1985.
Ref 7569/2/1: St Anselms Roman Catholic Church, Hindhead, 27 Sep 1965 -19 Dec 1977.
Ref 7447/1: St Anselms Roman Catholic Church, Hindhead, 27 Jul 1978 -26 Sep 1987.
Ref 7093/1/1/43: Farnham Poor Law Institution (later Farnham Hospital) House Committee chaplains register of baptisms, services and visits, 3 Oct 1926 -21 Aug 1969. Includes some baptisms by the Roman Catholic chaplain.
The links will take you to the relevant catalogue of records held at the Surrey History Centre.