When the Rolling Stones’ “Sympathy for the Devil” comes on the pre-show soundtrack, it’s a tipoff that C.S. Lewis’ The Screwtape Letters is going to be a diabolically delightful evening of theater and infernally amusing. The script is deftly adapted for the stage by Max McLean (who also directs) and Jeffrey Fiske from Lewis’ popular epistolary novel wherein the moral universe is turned upside down: God is “The Enemy” and the Devil-in-chief is “Our Father.” The Screwtape Letters is obliquely a story about the vicissitudes of faith and the joke is that it’s set in Hell, where Screwtape is a...