Kathryn, I do believe that the church that you are talking about in Shelby Co., KY. is "Rockbridge" Mission Methodist Church...I have been there, it was still standing about 15 yrs. ago. I can not at this moment tell you the name of the road that it is on, but do remember that it is in the country & the road is basically one lane, blacktop, I feel sure someone in Shelbyville could direct you there if you tell them the name of the Church. You are right, that the Figg family started the church when they came to Kentucky from VA.
As for JAMES & SARAH ANN McCORMICK FIGG, they are buried in the Grove Hill Cemetery, in Shelbyville, Shelby Co., KY. James Figg d. 3 July 1883 in Shelby Co. & he & Sarah married there 19 Mar. 1822. James being the s/o William & Mary Taylor Figg. Another s/o James & Sarah was Benjamin of whom I descend, through Benjamin's son, HAMILTON TAYLOR FIGG. Hope this will be of some help to you...and also, you may want to try to find a copy of the book, "Figg Leaves," by Eula Richardson Hasskarl & Donald Keith Matson, copyright 1982