I think that 'walking with the Devil' means doing things you know are wrong, like stealing, but you shouldn't beat yourself up about it if you have to do things like steal food to feed your kids, or take a blanket to keep them warm.
Religion tends to see things as absolutes, and real life just isn't that simple.
However, it doesn't mean robbing a convenience store to buy an XBox:
http://seattletimes.nwsource.com/html/localnews/2010858317_robbery22m.htmlSue