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:
- Get help from Uriel (which was refused)
- Became a Winter Knight (which was accepted)
- Became Denarian
- Use the Darkhallow ritual, murder thousands and became a physical god
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."