I don't know why everyone is so tied up in the idea that there aren't consequences for your actions. Why can't it just be that your soul goes to whoever you sold it to after you die? People seem convinced that there must be some sort of happy ending for their PC, but I don't see why that necessarily has to be the case if you willingly sold your character's soul to a known evil entity. Just because you sold your soul to 6 evil guys instead of 1 doesn't make the end result any happier.

If you don't want your PC to have an unhappy ending, maybe just don't sell their soul for crappy mid-tier artifacts that you probably don't even need.