Willie-Jay is one of Perry's few friends in In Cold Blood and he is the only one of those friends who attempts to change Perry's attitude and to save him from future violence. Willie-Jay is honest and respectful with Perry, a combination of traits unique in Perry's experience.
An older man, Willie-Jay sees Perry as a person who needs help and he astutely recognizes that one thing Perry lacks especially is self-esteem. By acknowledging Perry's intellect and his talent, Willie-Jay ingratiates himself with Perry and becomes a mentor figure. He always takes Perry's side and tries to build him up while also telling the truth.
This situation does not last, however, because Willie-Jay insists on joining religion to Perry's path to reform. Perry's experience with the nuns in the orphanage where they beat him and berated him completely soured him on religion. When Willie-Jay insists on talking about religion, Perry looks for friendship elsewhere.
Importantly, Perry never stops feeling that Willie-Jay had his best interests in mind. Perry continues to feel fondness toward Willie-Jay and seeks him out in Kansas.