While this line of argument seems quite popular among theists, there are actually many ways to refute this argument (often with hilarious results). I will venture into some of these refutations at a later time. For now, I will address more generally the question “What if you’re wrong?” as it applies to epistemology.
The first thing to note here is just how many atheists manage to bring themselves to address this question, compared to the incredibly few number of theists who manage the same. Just like with the question of open-mindedness, many theists refuse to seriously consider the possibility of being wrong. I find it intellectually dishonest to put forth a question that applies equally to both sides while refusing to consider the question critically yourself. This is why I answered my own question of open-mindedness.
It is trivially easy to concoct a scenario in which the theist being wrong leads to an infinite punishment. Take Christianity and Islam, for example. Christianity (or at least many branches of it) teaches that Christianity is necessary to reach eternal salvation and escape eternal damnation. Islam (or at least many branches of it) teaches that Islam is necessary to reach eternal salvation and escape eternal damnation. So however important the question of incorrectness may be to atheists, it is every bit as important to Christians and Muslims. And to Jews and Hindus and Jains and Buddhists and so on. We can’t just apply this question to the atheist’s position. We need to apply it to all positions.
But how often are theists encouraged to ask themselves this question? Since we can’t expect to get everything right the on our first try, it is important to address this question. And in doing so, we find another reason that faith is ill-suited as an epistemology. If you are wrong, then in order to correct your incorrect set of beliefs, you must be capable of critically examining those beliefs. Skepticism is built around a willingness to address doubts. It's okay to doubt things, and you’re supposed to pursue those doubts so that you may correct any errors. In faith-based systems, you’re not supposed to doubt the tenets. In fact, many faith-heavy religions teach that it is immoral to engage in this doubt. Not only are you not supposed to become an atheist, you’re not supposed to even consider becoming an atheist. The whole notion of faith is an attempt to work around the process of re-examining a belief. So in the event that you are wrong, faith does nothing to address the problem.
So what if I’m wrong? Well, I have an epistemology that looks at itself. My methods encourage re-examining beliefs in light of new information. So if I’m wrong, I stand a decent chance of discovering this fact, and working to fix it. But what if you’re wrong? And what if your methodology resists this question? What if you’re not only wrong, but have actually placed extra barriers in the way of realizing your own errors?