I’m not really sure, but that’s what the Astlanian’s say we do, they like to talk about selling their souls to us all the time.
I’d ask Lillith, but she doesn’t like me that much and is liable to show me by example. If she’s eating the souls then that would be bad.
I, on the other hand, am collecting souls via email address on this site, and I am going to use those binding links to summon people to be my demon army so that I can take over the Abyss and establish myself as Despot Supremus! I’m going to need a lot of canon fodder.