The dawn of civilization

[The Grand Nudger]

What caused this huge shift from being hunter/gatherers to farming people?

There's no single reason, and ag started independently all over the world at different moments in time.  In truth a long drawn out series of moments that began with wild harvest and herding and lead, eventually, to domestication and settlement.  

Why it took so long for mankind to start building societies?

I'm guessing you mean villages or civilizations.  Any group of human beings have a society.  I can point to a couple of factors, pursuant to the above, but this won't be exhaustive.  Firstly, there could be no farming settlements until the climate favored the growth of annuals.  Adding to this, not only was the late stone age climate change a requirement, there had to be significant densities of wild cultivars conveniently located to water and wild game..and enough people to work them...with sticks.  There were no plows, no recognizable farming implements and no animals to pull them or harnesses to attach them.  The earliest indications we have of ag are, instead, milling stones.  These had probably been around for awhile (wild harvest processing).  Secondly, it takes time to breed a wild cultivar into a useful crop.  The things we eat today have been breed well beyond recognition.  Thirdly, some understanding of agricultural methods needs to be possessed and employed for any settlement of an appreciable size...one that we might happen across someday in the archaeological record.  Things like irrigation, tillage, fertilization, pest management, processing, storage.  

When we understand all of those difficulties we only begin to appreciate the bar for forming a village.  There are still plenty of other things to consider when any large number of people stay in one spot.  The early agriculturalists actually didn't do very well.  Set aside contemporaneous hunter gatherers they were commonly malnourished, and they never really stopped being hunter gatherers themselves.  Essentially, it was another (set of) tool(s) added to the kit - not a switch.   Seems like the ladies loved em, though.....and I suppose I can see why.  It's nice to have food in the dead of winter.  

And why do we always see some kind of religion? 

We don't.  What you're thinking of when you say religion is thousands of years younger than agriculture and commonly employs agriculturalist themes.  What we see, going back 50k years or so, are things that one one day become a part of religious traditions..not religious traditions themselves.  We see burials, we see proto-mythic representation in art.  The earliest evidence we have of some form of organized worship would be megaliths...which largely post-date agriculture and agricultural settlement, though is some cases that's not so.  In some cases, the people who built and gathered at megalithic sites were explicitly nomadic hunter gatherers. If those megalithic sites were religious, we have no idea what that looked like beyond the procurement of the stones. We can only make inferences...because it isn't until history begins with the written word that we have certain indication both of religion and the nature of a religious system....and that's even younger still.