I take the song to mean that "the devil in lace" is the girl he's using for revenge. My guess is there is a second girl and he is with this "devil" or whore as a means of revenge of getting back at the other girl. Whether the other girl cheated on him, ended their relationship, or just pissed him off is a good question, but I think he's using this other girl, and she's totally ok with that.
To me the lines "every dirty word she whispered, and every sick thing she screamed" are talking about the devil in lace while "I hope they echo off your walls, I hope they haunt your every dream" he's speaking to the other girl.
I take the song to mean that "the devil in lace" is the girl he's using for revenge. My guess is there is a second girl and he is with this "devil" or whore as a means of revenge of getting back at the other girl. Whether the other girl cheated on him, ended their relationship, or just pissed him off is a good question, but I think he's using this other girl, and she's totally ok with that.
To me the lines "every dirty word she whispered, and every sick thing she screamed" are talking about the devil in lace while "I hope they echo off your walls, I hope they haunt your every dream" he's speaking to the other girl.