The Pilgrim as a Historian
historytoday.com
historytoday.com
A lot of Christians I know have done some sort of pilgrimage. Quite a few Buddhists too (most of those I know if you count short and easy trips).
I agree it is very common, but I cannot see a correlation between how ancient a religion is and how important pilgrimage is within in it.
The later have a very rich culture of pilgrimages.
For example, in Acts 20:16 it notes how Paul was trying to be in Jerusalem for Pentecost. Now this was around 55 AD.