FSouza,
You have names and places, but didn't post any dates. You mention people coming to America in the 1920s. I'm going to assume that these people were born before 1910 or so.
Records older than 100 years are held at the regional archive. For Sao Miguel, that's in Ponta Delgada. Sao Miguel has microfilm from the beginning of what exists up to 1800 or 1883 in some freguesias. So you only need to cover the gap between 1880 and 1920.
The address for Ponta Delgada (and for the other 2 archives for those who want to know) is here:
http://goo.gl/rd0GsThere is also a link for a sample form letter at the top.
Some Sao Miguel records are starting to come online. There are some for Lagoa that go up to 1905:
http://www.culturacores.azores.gov.pt/ig/registos/?serie=0&ilha=2&concelho=15
Sao Vicente Ferreira and Santo Antonio (if you are talking about freguesias and not churches) are both in the council (county) of Ponta Delgada. Those records are not online. So if your ancestors were born after the early 1880s, you will have to write (link provided above).
Cheri Mello
Listowner, Azores-Gen
Researching: Vila Franca, Ponta Garca, Ribeira Quente, Ribeira das Tainhas, Achada