GENUKI is where I usually head first if I'm researching a family in an unfamiliar area. (UKI = UK and Ireland.) It's a volunteer-run website, organised geographically. Coverage for each area depends on how active volunteers for that area are or have been. Typically there's information about churches and cemeteries, dates and locations of registers, maps, address of archives, a brief history. I searched GENUKI Wolverhampton.
https://www.genuki.org.uk/big/eng/STS/WolverhamptonSubstitute alternative place names and see what comes up.
Disappointingly there's no information on it for R.C. churches in Wolverhampton. The church list has C. of E. churches. The colour-coded map has only red icons for C. of E. churches, no yellow for R.C. or any other colour.
A search for Willenhall under "Place search" tab found, among other things, an old map.
Move around it to locate Wolverhampton. I enlarged it but couldn't see street names.
There are some posts about local resources at the start of RootsChat Staffordshire board. One is about R.C. registers.
Archdiocese of Birmingham Archives is presently closed and archivist is working remotely.
www.birminghamarchdiocesanarchives.org.uk/index.aspThere are links from the Resources page on the website to lists of sacramental registers on Find My Past. Look for Staffordshire on each FindMyPast list, then churches are arranged alphabetically by place. FindMyPast has: baptism registers for St. Mary, Willenhall 1864-1907; SS. Mary & John, Wolverhampton 1855-1894; SS Peter & Paul 1736-1907. There are marriage registers for some of those parishes and years on FindMyPast and a smaller collection of burial registers. (See the comment about sparse burial records for Catholics on Archdiocese Resources page.) There was also a Catholic church in Walsall, St. Mary. I didn't look at other places on the lists.
Catholic Family History Society is on Facebook. December 2019 edition of "Catholic Ancestor", the society's journal has an article about Birmingham Diocesan Archives. (Btw a new editorial team is needed for the journal.)
Catholics living in mid-19th century England might have married in an Anglican church or been buried in an Anglican churchyard. Cemeteries were established mid-19thC. on in most places.
The family history society for West Midlands is Midland Ancestors
https://midland-ancestors.uk