Akaal
Here is my personal opinion
There is no reason why it should be "wrong" to marry out of religion. Think about it, a marriage is a unification of two souls. Souls are a piece of god and do not have a religion, caste, creed, race or gender. Any two souls can unite.
Secondly, the idea of a marriage is to unify souls and then help your partner progress spiritually. There is nothing to say that a person can not help their partner progress spiritually just because they are from a different religion. Bare in mind that dharamraja will not judge you on your religion, but your kamai, karma and spirituality as no religion is inferior to another or "bad".
If you are thinking of marrying a hindu, then it may not be such a problem as usually hindus do not mind engaging in all sikh practices. If your partner asks you to engage in hindu practices, and this is something that you yourself personally do not mind, then that is fine and okay. If however you object, you may need to talk that over with your partner.
The issue arises with bringing up children. You will have to decide with your partner what you will bring your children up as. That is entirely up to you and your partner and for no one else to judge.
Once you have decided that, I personally see no reason as to why you cannot marry someone from a different religion. Just make it so that you do not fight with each other in later life about how to bring up children etc.
I myself know plenty of couples who are from different religions and everything is fine and completely normal.
This is just my opinion, I am not particularly bothered if someone disagrees as every man is his own religion and everyone is entitled to their opinion. Anyone who disagrees has that right to do so.
Akaal