Between 1795 and 1917, what we know as "Lithuania" did not exist, but was simply an area of the Russian Empire where predominantly ethnic Lithuanians lived. Since the majority of ethnic Lithuanians were Roman Catholic, vital records of baptism (and thus of birth), marriage, and burial (and thus of death) were made and retained by local parishes. These records were made in hand-written Polish, Russian, Latin or Lithuanian.
During the Soviet occupation of Lithuania, however, all these record books were brought to a central location in the Historical Archives of Lithuania. Some few duplicate books were retained by locals and records from areas that are now within or bordering Poland and Belarus may be found in either the Lithuanian, Polish or Belarusan Archives.
You would be well advised to contact the Historical Archives in Lithuania, assuming you have the basic information they need in order to conduct a search:
1. The given and family name of the individual,
2. The type and year of the event, and,
3. The name of village or parish where the event took place.
If you do not have any of these pieces of information, the Archives staff will not be able to do a search, in which case you should focus your efforts on getting that information (church marriage registries are excellent sources, as well as naturalization records, sometimes military records, passenger manifests, etc.)
If your ancestors remained in the U.K. and you need further information, I'd suggest posting what information you do have to this Lithuanian genealogy group which has several knowledgeable members in the U.K:http://www.network54.com/Forum/5317/
The web site for the Archives in Lithuania in English is:http://www.archyvai.lt/archyvai/selectPage.do;jsessionid=337...
You can email them in English, but they will likely respond in Lithuanian -- no problem for there are several online groups who will translate for you.