Military records can be quite complex as they are kept in many different places.
Records from 1920 through to the present are only available from the Ministry of Defence and are subject to limitations if less than 25 years old. You can see further details and apply at the Government Website Military Records. Note however there is a charge of £30 per record. This covers the Home Guard as well as other Military Units.
Personel records from the first world war are generally not available due to them being damaged by bombing in WW2.
Any First World War records that are available are usually only available through paid sites and will cover such records as medal cards, service records and recommendations for honours and awards. If a soldier continued in service beyond 1920 their records are not likely to be found. Records from 1914 onwards are the responsibility of the National Army Museum, prior to that all records are with the National Archive at Kew
The record cards for some first and second world war records are available on the National Archives site and these can be seen at Medal Records.
The Commonwealth War Graves Commission has details of all personel who died between 1914 and 1921 as well as 1939 to 1947 and these can be found on thier website Debt of Honour Database.
There are some websites particular to Cumbria:
Check out the National Archive subject index page for possible other record collections at Subject Index.