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In Changes, Harry first called Uriel, then he resorted to Mab's offer - becoming winter Knight.
I believe that later on (either Ghost Story, Cold Days, or Skin Game) there is one moment where Harry thinks about what his backup would have been if Mab had refused them. I just recently reread all of them - and I don't want to read them again - but I skimmed them and can't find that passage.
Harry had two more backup plans:
I grimaced. “Please don’t take this as an insult. But you’re the least evil of my options.”
The cold voice told me nothing about her reaction. “Explain.”
“The Denarians would have me growing a goatee and gloating malevolently within a few years, if I didn’t break and turn into some kind of murderous tardbeast first. And I’d have to kill a lot of people outright, if I wanted to use the Darkhallow.” I swallowed. “But I’ll do it. If I have no other way to get my child out of their hands, I’ll do it.”
So in the order of "evilness" he had 4 options:
I'm not sure is the #4 actually feasible, since Darkhallow was requiring lots of preparation, for starters it had to be performed on Halloween and needed support of powerful spirits.
As for #3 it wouldn't be a literal deal with the devil but something very close - Knights of the Blackened Denarius had (mostly) free will and chance for redemption.
It is also worth to point that Harry made deals with real demons before in "Fool Moon":
"Well, you aren't getting my soul today," I told him. "So make me a counteroffer, or we can call a close to the negotiations and I can send you back."
The demon shuddered. "Yes, very well. Let us not be hasty, Harry Dresden. I have the information you need. Additionally, I have more information of which you are not aware, and which would be of great interest to you, and which I judge, additionally, may help to preserve your life and the lives of others.Given the situation, I do not think the price I will ask inappropriate: I wish another of your names."
Harry agrees to that deal, later on he is tempted again but he refuses and breaks the contact:
"The price is comparatively low. What need have you for your immortal soul when your body is finished with it? What harm to pass on to me only one more name? This is not information easily gained, even by my kind. You may not have the chance to garner it again." The demon pressed his pincers against the barrier of the conjuring circle. His beaklike maw fairly trembled with eagerness.
"Forget it," I said quietly. "No deal."
Having just finished re-reading them, I can confirm that nowhere in Ghost Story, Cold Days, or Skin Game does Harry think about what his other options were.
The closest is in the flashback scene in Ghost Story, where he
persuades Molly to help him arrange his own murder.
Even then, the other options aren't mentioned explicitly; he just says that Mab is the only acceptable choice, because he has a reasonable chance of tricking her.
Perhaps you were thinking of the scene in Cold Days (chapter 19) where it is revealed that
Harry considered asking Lara to kill him instead of Kincaid?
