Source, in full
This may be a paraphrase or summary of Wesley's thoughts that originated with Hugh Price Hughes; in his preface to Ethical Christianity : A Series of Sermons (1892) he states "It is really quite surprising that one could honestly confound Orthodoxy with Christianity, because, as John Wesley used to say in his emphatic and decisive manner, you may be as orthodox as the devil and as wicked." He does not place the statement itself in quotes, though his daughter, Dorothea Price Hughes, in her book The Life of Hugh Price Hughes (1904), p. 146, states "The saying of Wesley's that a man may be as orthodox as the devil and as wicked, was one in which he delighted, and which he often quoted." No published sources of the statement prior to 1892 have yet been located.