Religious system which is a combination of traditional African beliefs, Christianity, and Caribbean folklore, most often practiced by Hispanics.
I don't practice Santeria,
I ain't got no crystal ball,
I had a million dollars but I,
I spent it all!

Anyway, Santeria is some religion practiced in Africa I believe and it has little implications with the song except that opening line.
It takes traditional West African religion and combines it with Christianity. Got a bad rep in the press because of some wacko who tried to exorcise her kid of demons by putting a plastic bag over her head, so when Bradly states that he "don't pratice" it I think hes saying something like "I'm not an altogether bad guy, even though I'm going to pop a cap in Sancho." At least thats how I interpret it.
"To be matter-of-fact about the world is to blunder into fantasy - and dull fantasy at that, as the real world is strange and wonderful." - Robert A. Heinlein