Hi Jan,
Neil's quite right, Kew is the place to start. I traced one of my family who enlisted in 1820 in the 33rd and then joined the Rifle Brigade. He was discharged in London in 1845. I managed to get his full service history, some 12 pages, with an extraordinary amount of information. The do not however give any details of family in service records.
Hope you have some luck.
Brian