If you are unable to find your ancestors in the parish records, it may be worthwhile looking at the records of the nonconformist chapels.
Following Hardwicke's Act of 1753, all marriages between 1754 and 1837, (except for the Quakers and the Jews) had to take place within the established church - even if they were of nonconformist denomination. There was no enforcement on baptisms, therefore most nonconformist baptisms will not appear in the parish records.
Amongst nonconformist records, there are:
Unfortunately, chapel records have not been as safely and conscientiously stored as the records of the established church; therefore it's unusual to find any register before the 19th century. For surviving registers see Cofrestri Anghydffurfiol Cymru/Nonconformist Registers of Wales ed Dafydd Ifans (NLW, Aberystwyth, 1994).