The Scotlandspeople site only holds parish registers for the Church of Scotland, the Roman Catholic Church in Scotland, and a few other Presbyterian churches.
The records of many other denominations are held by National Records of Scotland, but these are not yet available to search online and you either need to visit their office in Edinburgh, or hire someone to visit on your behalf.
You should be aware that the history of the protestant church in Scotland is not a straightforward one, and that locating the church records for a particular group can also sometimes be a non-trivial exercise!
The Genuki page on Church Records in Scotland includes further links that you might find useful.
In the case of Thomas Kerr and his wife Lillias, the first step would be to try and identify which church they would have attended. It's possible that you may find this from their marriage certificate.
A search on FamilySearch shows a number of children named Thomas Kerr baptised in Dumfriesshire between 1806 and 1811.
As one last complication, it is also worth remembering that the baptism might have occurred some years after the birth.