Hi, and apologies for the delay in responding to your post. I suspect that the baptisms would have been conducted at Cockerham Parish Church but possibly at Ellel Church. I have copied a bit from a book I have below, which may prove helpful. If you would like me to photocopy it or take any photographs for you, please let me know and I will be pleased to do so.
Extract from 'A Short History of Dolphinholme' by the Rev A. R. Denne, BA - Vicar of Dolphinholme 1965.
'Before the coming of the mill, the site of the present village of Dolphinholme was partly in the ancient parish of St Helen's, Churchtown, or Garstang, and partly in that of St Michael's, Cockerham. As for hte latter church, it had long possessed one or two chapels of ease, built for the convenience of th einhabitants of th eoutlying parts of the large parish, and one of these was at Elll. This would have served the scattered farmimg community of what we now call dolphinholme, before the coming of the larger population, at the end of the C18th. ....
.... At first, services were held in th eschoolromm in th elower art of the village. They consisted chielfy of an afternoon service on Sundays. Once a quarter, the congregation would assemble at the schoolroom and march in procession to Shires head Old Church, also a chapel of ease for Cockerham. There was no facility for th einternment of the dead at Dolphinholme, this would have to be done at either Shires Head, Galgate (Ellel) or Cokerham. It seems that the sacrament of baptism was administered for a short while in the building which served for worship, fo rthe entries in the old register begin on Friday 10th 1838.'
Here is a pic of part of the village - it hasn't changed much ....