Sebastian's name is actually not his own. It is a name given to him by Ciel Phantomhive when they came upon an agreement; Sebastian is to help Ciel with his revenge and Ciel will give his soul to Sebastian as payment.
Later in the series, it is revealed that the name "Sebastian" actually the name Ciel gave to his pet dog. Historically, the name is similar to Father Sebastien Michaelis, who compiled a hierarchy of Demons in Hell.
I'm not sure why people would even consider selling their soul to the devil, but people make decisions to which they think at that time is the right one. Wonderful job on this cosplay!