It's all made up.
Hi Tawnyren
On Sisterjane's suggestion, I will rephrase that.
I have listed above the occurence of SMALLEYs in the IGI batch which contains the Thomas SMALLEY references. Having checked the
extracted IGI batches* (see below), my BIVRI2 disks and my Lincs Marriage Index, the only one of those events for which I can find any verification at all is the marriage of Edward SMALLEY in 1806.
In my opinion, all of the other alleged listed events are highly speculative and should be treated with utmost caution (unless of course verification can be obtained, which is what you were trying to do in the first place.)
*Extracted IGI batches, usually the numbers begin with a C or an M, have been transcribed from parish registers and ought to be pretty reliable (but should be checked, it is only an index).
Submitted IGI batches - provide data which has not necessarily been verified. In this case the batch begins with an F - and assumes that a couple married the year before the first known child was baptised. If a couple failed to have a couple of children christened, changed villages or many other possibilities, then the speculative marriage date may be several years out. Many of these submitted batches assume that a person was a certain age (e.g. 25 for a man, 21 for a woman) at the time of their marriage. ... So you can have a date of birth based on the date of a marriage that didn't take place on the stated date. I must confess, that is what I meant by "made up" ... I'm struggling to find an alternative expression I'm afraid.

I believe that this was the case with the SMALLEYs - they had several children in Lincoln before reaching Grantham - this too is speculative of course! I am unable to find a marriage for them too.
The links between SMALLEYs, Grantham, Little Steeping, the ANCIENTs, Mildreds etc were too strong for me to ignore and I feel that is where your folks came from.
For a fuller explanation about the different types of IGI batches (but no warnings about the shortcomings of certain batches) see
http://globalgenealogy.com/globalgazette/gazfd/gazfd36.htm