This has always kind of bugged me, but "do the less evil thing" is stupid, obvious advice nobody needs to give or receive. 'Less' should not be understood as the antonym of 'more' but instead as the opposite of 'greater', larger, more powerful.
It's not an exhortation to split hairs over which bloodthirsty demon is more virtuous, it's tactical advice: pick the Evil you know you can Kill.