What you are talking about is what happens in Act IV, Scene 1 of the play. At that point, Sarah Good and Tituba have been in prison for a long time.
The way the two women speak in this scene is usually interpreted as their reaction to having been in prison so long. They are usually said to have gone a bit crazy because of the conditions they have been exposed to.
When people have gone crazy, it is unlikely that they are able to truly understand what they are saying.
So, overall, I'd say that they have been driven crazy by their persecution and imminent execution. I also would say that this is supposed to underline how crazy the whole situation is.
It seems the two women are saying that going to the Devil would be better than where they are at and if they are giving that meaning then they would have to know what they are saying.